Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts
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Cited by:
- Symeonidis, Lazaros & Daskalakis, George & Markellos, Raphael N., 2010.
"Does the weather affect stock market volatility?,"
Finance Research Letters, Elsevier, vol. 7(4), pages 214-223, December.
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- Chourdakis, Kyriakos & Dotsis, George, 2011. "Maximum likelihood estimation of non-affine volatility processes," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 533-545, June.
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More about this item
Keywords
High frequency data; Integrated variance; Microstructure noise; GARCH; Stochastic volatility; Long range dependence; Intertemporal CAPM;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
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