The distribution of index futures realised volatility under seasonality and microstructure noise
Nuria Alemany, Vicent Aragó, Enrique Salvador
| Year of publication: |
2020
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| Authors: | Alemany, Nuria ; Aragó, Vicent ; Salvador, Enrique |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 93.2020, p. 398-414
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| Subject: | High-frequency data | Intraday seasonality | Microstructure noise | Realised volatility distribution | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Saisonale Schwankungen | Seasonal variations | Noise Trading | Noise trading | Index-Futures | Index futures | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Saisonkomponente | Seasonal component |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2020.08.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012430196