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


  • Remco T. Peters
  • Robin G. de Vilder


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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  • Remco T. Peters & Robin G. de Vilder, 2002. "I.I.D Standard Normality For The Dutch (AEX) Stock Index," DELTA Working Papers 2002-05, DELTA (Ecole normale supérieure).
  • Handle: RePEc:del:abcdef:2002-05

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    1. Holly, Alberto & Gardiol, Lucien & Domenighetti, Gianfranco & Brigitte Bisig, 1998. "An econometric model of health care utilization and health insurance in Switzerland," European Economic Review, Elsevier, vol. 42(3-5), pages 513-522, May.
    2. Ma, Ching-to Albert & McGuire, Thomas G, 1997. "Optimal Health Insurance and Provider Payment," American Economic Review, American Economic Association, vol. 87(4), pages 685-704, September.
    3. McGuire, Thomas G., 2000. "Physician agency," Handbook of Health Economics,in: A. J. Culyer & J. P. Newhouse (ed.), Handbook of Health Economics, edition 1, volume 1, chapter 9, pages 461-536 Elsevier.
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