Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average
β Scribed by Theodore E Day; Pingying Wang
- Book ID
- 117628148
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 193 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0927-5398
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This article examines the impact of trading in the Dow Jones Industrial Average (DJIA) index futures and futures options on the conditional volatility of component stocks. It investigates the contention that the introduction of futures and futures options on the DJIA could increase vola
## Abstract Empirical highβfrequency data can be used to separate the continuous and the jump components of realized volatility. This may improve on the accuracy of outβofβsample realized volatility forecasts. A further improvement may be realized by disentangling the two components using a samplin