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35 p, 1.2 MB Volatility during the financial crisis through the lens of high frequency data : a realized GARCH approach / Banulescu-Radu, Denisa ; Hansen, Peter Reinhard ; Huang, Zhuo ; Matei, Marius
We study financial volatility during the global financial crisis and use the largest volatility shocks to identify major events during the crisis. Our analysis makes extensive use of high frequency (HF) financial data to model volatility and, importantly, to determine the timing within the day when the largest volatility shocks occurred. [...]
The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396.

2017 (ADEMU Working Paper Series ; 63)  

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