The distribution of index futures realised volatility under seasonality and microstructure noise
Year of publication: |
2020
|
---|---|
Authors: | Alemany, Nuria ; Aragó, Vicent ; Salvador, Enrique |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 93.2020, p. 398-414
|
Subject: | High-frequency data | Intraday seasonality | Microstructure noise | Realised volatility distribution | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Saisonale Schwankungen | Seasonal variations | Noise Trading | Noise trading | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Index-Futures | Index futures | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Finanzmarkt | Financial market |
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