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| Author: | Thomakos, D. D. Wang, T. |
| Title: | Realized volatility in the futures markets |
| Journal: | Journal of Empirical Finance
2003 : MAY, VOL. 10:3, p. 321-354 |
| Index terms: | VOLATILITY DATA ANALYSIS TESTS MARKETS |
| Language: | eng |
| Abstract: | Using intraday returns on four futures contracts over a 5- year period, the authors calculate and analyze model-free measures of futures return volatility. The authors focus on the temporal characteristics and distributional properties of daily returns, return volatilities, (log of) standard deviations, standardized returns and pairwise correlations. The behavior of a number of tests for Gaussianity under long memory is explored via a simulation study. The simulation results indicate that tests of the "goodness-of- fit" variety are appropriate to use while the commonly employed Jarque-Bera test is severely oversized and its use is not recommended. The authors find that the standard deviations and the pairwise correlations exhibit long memory while the standardized returns are serially uncorrelated. |
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