Volatility measurement with pockets of extreme return persistence (Q6090561)
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scientific article; zbMATH DE number 7767714
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility measurement with pockets of extreme return persistence |
scientific article; zbMATH DE number 7767714 |
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Volatility measurement with pockets of extreme return persistence (English)
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17 November 2023
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extreme return persistence
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high-frequency data
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integrated volatility estimation
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market microstructure noise
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volatility forecasting
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