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~institution:"Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain"
~subject:"Granger non-causality"
~subject:"Intraday volatility"
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Granger non-causality
Intraday volatility
volatility
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BOUEZMARNI, Taoufik
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GIOT, Pierre
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ROMBOUTS, Jeroen
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TAAMOUTI, Abderrahim
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
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Departamento de Economía, Universidad Carlos III de Madrid
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Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia
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EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
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Institut de Préparation à l'Administration et à la Gestion (IPAG)
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A nonparametric copula based test for conditional independence with applications to Granger causality
BOUEZMARNI, Taoufik
;
ROMBOUTS, Jeroen
;
TAAMOUTI, Abderrahim
-
Center for Operations Research and Econometrics (CORE), …
-
2009
Persistent link: https://www.econbiz.de/10008550166
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2
Intraday value-at-risk.
GIOT, Pierre
-
Center for Operations Research and Econometrics (CORE), …
-
2000
trading. As expected, the
volatility
features an important intraday seasonality, which must be removed prior to using theVaR …
Persistent link: https://www.econbiz.de/10005042801
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