Listar COFIN_Articles por fuente "Economic Modelling, 2020, v. 93"
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The distribution of index futures realised volatility under seasonality and microstructure noise
Elsevier (2020-09-01)Previous research documents that the distribution of realised volatility appears approximately log-normal. However, formal tests reject normality fairly convincingly, which may indicate intrinsic features in the intraday ...