Modeling intraday volatility of European bond markets : a data filtering application
Year of publication: |
2019
|
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Authors: | Zhang, Hanyu ; Dufour, Alfonso |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 63.2019, p. 131-146
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Subject: | Data Filters | European Bond Markets | Intraday GARCH | ARCH-Modell | ARCH model | Volatilität | Volatility | Rentenmarkt | Bond market | EU-Staaten | EU countries | Europa | Europe | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis |
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