The distribution of index futures realised volatility under seasonality and microstructure noise

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Bibliographische Detailangaben
Veröffentlicht in:Economic modelling
1. Verfasser: Alemany, Nuria (VerfasserIn)
Weitere Verfasser: Aragó, Vicent (VerfasserIn), Salvador, Enrique (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2020
Schlagworte:
High-frequency data > Intraday seasonality > Microstructure noise > Realised volatility distribution > Aufsatz in Zeitschrift
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