VOLATILITY PATTERNS OF THE LARGEST POLISH COMPANIES: SOME EVIDENCE FROM HIGH-FREQUENCY DATA
Purpose. The article is focused on the empirical properties of the high-frequency data of 20 selected stocks from the Warsaw Stock Exchange (in particular the ones listed on WIG 20).The intraday data from at least more than 1 year were analysed. In particular, correlation between returns and duratio...
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| Format: | Article |
| Language: | English |
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Juraj Dobrila University of Pula
2018-04-01
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| Series: | Review of Innovation and Competitiveness |
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| Online Access: | https://hrcak.srce.hr/file/292599 |