Realized volatility in the futures markets

Journal of Empirical Finance

Volumn 10, Issue 3, 2003, Pages 321-353

  Thomakos, Dimitrios D ^a   Wang, Tao ^a  

^a FLORIDA INTERNATIONAL UNIVERSITY   (United States)

Author keywords

ARFIMA; High frequency data; Long memory; Realized volatility; Tests for normality

Indexed keywords

EID: 0037404958     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(02)00052-X     Document Type: Article

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