Towards a unified framework for high and low frequency return volatility modeling (Q4259384)
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scientific article; zbMATH DE number 1327197
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| English | Towards a unified framework for high and low frequency return volatility modeling |
scientific article; zbMATH DE number 1327197 |
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Towards a unified framework for high and low frequency return volatility modeling (English)
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23 August 1999
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high-frequency data
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ARCH
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stochastic volatility
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intraday seasonal
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long memory
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0.8789223
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0.8767054
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0.8751787
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0.8745078
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0.8705765
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0.87041795
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0.8672816
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0.86687857
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