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We study return predictability of stock indexes of blue chip firms and smaller hightechnology firms in Germany, France …-order autocorrelation coefficients, and find evidence for return predictability of stock indexes of smaller hightechnology firms, but no …
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With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...
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prefiltration of the data, which certainly impacts the estimation. We make use of the proposed model to obtain an improved estimate … from the German stock market index DAX. -- Extreme value theory ; autoregressive conditional duration ; value at risk …
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