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~person:"Fantazzini, Dean"
~source:"econstor"
~source:"edz"
~subject:"ARCH-Modell"
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Long memory and periodicity in intraday volatilities of stock index
futures
Rossi, Eduardo
;
Fantazzini, Dean
-
2008
, one of the most traded American Stock Index
futures
. The data set consists of round-the-clock hourly returns. The squared …
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