Empirical asset pricing in high-frequency markets

The first chapter provides a brief overview of the theoretical grounding of the so-called realized-measures and summarizes their statistical properties. Motivated by the superior statistical accuracy of high-frequency measures I test if they add economic value in a low-frequency investment context....

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Bibliographic Details
Main Author: Komarov, Oleg
Other Authors: Distaso, Walter
Published: Imperial College London 2017
Online Access:https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.726941