Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/125, pp. 1-19
volatility changes over time for both the S&P500 and FTSE100 indices. The period of analysis spanned from January 2000 to June … that the returns of S&P500 and FTSE100 indices were well explained by a specific group of realized measure estimators, and …