Realized Daily Variance of S&P500 Cash Index: A Revaluation of Stylized Facts
In this paper, the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang,...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2570 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3569/viewcontent/Yu_AEF_2008.pdf |
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| Institution: | Singapore Management University |
| Language: | English |