Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales
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- W. Breymann & D. R. Lüthi & E. Platen, 2009. "Empirical behavior of a world stock index from intra-day to monthly time scales," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(4), pages 511-522, October.
References listed on IDEAS
- Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151.
- Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
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- William T. Shaw, 2011. "Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution," Papers 1102.5665, arXiv.org.
- Mansooreh Kazemilari & Maman Abdurachman Djauhari & Zuhaimy Ismail, 2016. "Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach," Papers 1608.07694, arXiv.org.
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