Intra-Day-Patterns in the Colombian Exchange Market Index and VAR: Evaluation of Different Approaches
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References listed on IDEAS
- Oaxaca, Ronald, 1973. "Male-Female Wage Differentials in Urban Labor Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 14(3), pages 693-709, October.
- Alan S. Blinder, 1973. "Wage Discrimination: Reduced Form and Structural Estimates," Journal of Human Resources, University of Wisconsin Press, vol. 8(4), pages 436-455.
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KeywordsBacktesting; Intra-day; Financial Market; Garch-M; leverage effect; the day-of-the-week effect; the hour-of-the-day effect;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-18 (All new papers)
- NEP-IFN-2010-06-18 (International Finance)
- NEP-MST-2010-06-18 (Market Microstructure)
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