Conditional Probabilistic Analysis of Trade Ticks in Currency Derivatives Markets

Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers

G Raizada, V Srivastava, SVDN Rao - Journal of Quantitative Economics, 2020 - Springer
This study examines the effect of trading durations on the realized variance of rupee futures
traded in national stock exchange (NSE), India and Dubai Gold & Commodities Exchange …
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