PANAIT, Iulian; SLĂVESCU, Ecaterina Oana - In: Theoretical and Applied Economics XVIII(2012) (2012) 5(570), pp. 55-76
In our paper we use data mining to compare the volatility structure of high (daily) and low (weekly, monthly) frequencies for seven Romanian companies traded on Bucharest Stock Exchange and three market indices, during 1997-2012. For each of the 10 time series and three frequencies we fit a...