Persistence in high frequency financial data: the case of the EuroStoxx 50 futures prices
AbstractDifferences in the behaviour of asset prices depending on data frequency have not been thoroughly investigated in the literature despite their possible importance. In particular, high-frequency data might contain more information about financial assets because they are updated more rapidly i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2024-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2024.2302639 |