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~institution:"Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain"
~subject:"Intraday volatility"
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Intraday volatility
volatility
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GIOT, Pierre
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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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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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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