Arnerić, Josip - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 1-9
also higher realized moments and the entire realized distribution of returns. Old-fashioned approaches use only closing …. Moreover, time-varying realized moments support findings that returns are not identically distributed across trading days. The … estimation method is applied to DAX intraday prices, which balances between the bias and the variance of the realized moments …