Trading frequency and volatility clustering
Year of publication: |
2012
|
---|---|
Authors: | Xue, Yi ; Gençay, Ramazan |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 36.2012, 3, p. 760-773
|
Publisher: |
Elsevier |
Subject: | Trading frequency | Volatility clustering | Signal extraction | Hyperbolic decay |
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