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I.I.D Standard Normality For The Dutch (AEX) Stock Index

Listed author(s):
  • Remco T. Peters
  • Robin G. de Vilder
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    The availability of large amounts of intraday data for individual stocks and composite indices makes it possible to observe the sample function of the volatility process. The present paper contains the theoretical framework for making the volatility visible. We apply the theory to intraday data on the Dutch AEX index over the years 1996-2000 and show, among other things, that the standardized scaled log return series are i.i.d. standard normal.

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    Paper provided by DELTA (Ecole normale supérieure) in its series DELTA Working Papers with number 2002-05.

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    Date of creation: 2002
    Handle: RePEc:del:abcdef:2002-05
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