Causality effects in return volatility measures with random times (Q737283)
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scientific article; zbMATH DE number 6610578
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| English | Causality effects in return volatility measures with random times |
scientific article; zbMATH DE number 6610578 |
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Causality effects in return volatility measures with random times (English)
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10 August 2016
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continuous time models
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Granger causality
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instantaneous causality
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durations
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ultra-high frequency data
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volatility per trade
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0.7515288591384888
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0.7416941523551941
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0.736129105091095
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0.725134015083313
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