An empirical model of daily highs and lows
نویسندگان
چکیده
منابع مشابه
An Empirical Model of Daily Highs and Lows
We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and trading volume are found to offer incremental explanatory power for variations in highs and lows with...
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ژورنال
عنوان ژورنال: International Journal of Finance & Economics
سال: 2007
ISSN: 1076-9307,1099-1158
DOI: 10.1002/ijfe.303