The economics of data : using simple model-free volatility in a high-frequency world
Year of publication: |
2013
|
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Authors: | Garvey, John ; Gallagher, Liam |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 370-379
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Subject: | Economics of information | Model free volatility | High frequency data | Long memory effects | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARCH-Modell | ARCH model |
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