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This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation …
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This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation …
Persistent link: https://www.econbiz.de/10008697981
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Simulations of agent-based models have shown that the stylized facts (unit-root, fat tails and volatility clustering) of financial markets have a possible explanation in the interactions among agents. However, the complexity, originating from the presence of non-linearity and interactions, often...
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