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• W1521210945 abstract "We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE). Using intraday data we rst construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on their properties. Then we use the class of Heterogeneous Autoregressive (HAR) models for assessing the relevant effects of jumps on volatility. Our results expand and complement the previous literature on the ASE market and, in particular, this is the rst time, to the best of our knowledge, that volatility jumps are examined and modeled for the Greek market, using a variety of realized volatility estimators." @default.
• W1521210945 created "2016-06-24" @default.
• W1521210945 creator A5019093383 @default.
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• W1521210945 date "2009-01-01" @default.
• W1521210945 modified "2023-09-25" @default.
• W1521210945 title "Realized Volatility and Jumps in the Athens Stock Exchange" @default.
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• W1521210945 doi "https://doi.org/10.2139/ssrn.1499210" @default.
• W1521210945 hasPublicationYear "2009" @default.
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