Volume weighted volatility : empirical evidence for a new realised volatility measure
Year of publication: |
2018
|
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Authors: | Padungsaksawasdi, Chaiyuth ; Daigler, Robert T. |
Published in: |
International journal of banking, accounting and finance. - Genève : Inderscience Enterprises Ltd., ISSN 1755-3830, ZDB-ID 2458820-9. - Vol. 9.2018, 1, p. 61-87
|
Subject: | realised volatility | volume | volume weighted average price | VWAP | USA | United States | Volatilität | Volatility | ARCH-Modell | ARCH model | Handelsvolumen der Börse | Trading volume |
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