## Abstract Using highβfrequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and HenryβHub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are nonβGaussian, whereas the distributions of t
Realized volatility in the futures markets
β Scribed by Dimitrios D. Thomakos; Tao Wang
- Book ID
- 117628172
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 545 KB
- Volume
- 10
- Category
- Article
- ISSN
- 0927-5398
No coin nor oath required. For personal study only.
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