Risk-return trade-off in the Australian Securities Exchange : accounting for overnight effects, realized higher moments, long-run relations, and fractional cointegration
Year of publication: |
2022
|
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Authors: | Jayawardena, Nirodha I. ; Todorova, Neda ; Li, Bin ; Su, Jen-je ; Gau, Yin-feng |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 80.2022, p. 384-401
|
Subject: | Australian Securities Exchange (ASX) | CFVAR model | Forecasting | High frequency | Overnight volatility | Volatilität | Volatility | Australien | Australia | Schätzung | Estimation | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Börse | Bourse |
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