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uses the cross-sectional intrinsic entropy (CSIE) model to estimate the cross-sectional volatility of the stock groups that …
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The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of … asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation … of a high-frequency series. Based on the theory of temporal aggregation, we provide the link between the spectral density …
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% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of …
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