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allows us to obtain an estimator of the conditional volatility per time. this kind of volatility estimation solves the …
Persistent link: https://www.econbiz.de/10011543683
This paper delineates the simultaneous impact of non-anticipated information on mean and variance of the intraday return process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the consistent...
Persistent link: https://www.econbiz.de/10011544322