Statistical properties, dynamic conditional correlation and scaling analysis: Evidence from Dow Jones and Nasdaq high-frequency data
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DOI: 10.1016/j.physa.2008.12.042
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- Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2013. "Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1795-1802.
- Hernández, Juan Antonio & Benito, Rosa Marı´a & Losada, Juan Carlos, 2012. "An adaptive stochastic model for financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 45(6), pages 899-908.
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Keywords
High frequency returns; Probability distribution; Financial markets; Dynamic conditional correlation; Scaling analysis;All these keywords.
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