Measuring relative volatility in high-frequency data under the directional change approach
Year of publication: |
2022
|
---|---|
Authors: | Li, Shengnan ; Tsang, Edward P. K. ; O'Hara, John |
Published in: |
Intelligent systems in accounting, finance & management. - New York, NY [u.a.] : Wiley, ISSN 2160-0074, ZDB-ID 2379344-2. - Vol. 29.2022, 2, p. 86-102
|
Subject: | directional change | events | high-frequency data in FX markets | relative volatility | Volatilität | Volatility | Börsenkurs | Share price | Theorie | Theory | Ankündigungseffekt | Announcement effect | Schätzung | Estimation |
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