S&P500 volatility analysis using high-frequency multipower variation volatility proxies
Year of publication: |
May 2018
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Authors: | Chin, Wen Cheong ; Lee, Min Cherng |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 54.2018, 3, p. 1297-1318
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Subject: | Efficient market hypothesis | Realized volatility | Multipower variation volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Effizienzmarkthypothese | Schätzung | Estimation | Kapitaleinkommen | Capital income |
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