Nuria Alemany

Jaume I University - Department of Finance and Accounting

Lecturer in Finance

Avda Sos Baynat S/N

Castello de la Plana, Castello 12071

Spain

http://www.uji.es/departaments/cofin/

Other Papers (4)

Total Downloads: 0
1.

The Distribution of Index Futures Realized Volatility Under Seasonality and Microstructure Noise

Posted: 11 Jan 2019 Last Revised: 15 Sep 2020
Nuria Alemany, Vicent Aragó and Enrique Salvador
Jaume I University - Department of Finance and Accounting, Jaume I University - Department of Finance and Accounting and Universitat Jaume I - Department of Finance and Accounting

Abstract:

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high-frequency data, intraday periodic component, Fourier Flexible Form, realized volatility, microstructure noise, distribution

2.

Lead-Lag Relationship between Spot and Futures Stock Indexes: Intraday Data and Regime Switching Models

Posted: 25 Oct 2017
Nuria Alemany, Vicent Aragó and Enrique Salvador
Jaume I University - Department of Finance and Accounting, Jaume I University - Department of Finance and Accounting and Universitat Jaume I - Department of Finance and Accounting

Abstract:

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regime switching models, arbitrage opportunities, lead-lag relationship, intraday data

3.

Estimation Error Using High-Frequency Data on Optimal Portfolio Choice

Posted: 25 Oct 2017
Nuria Alemany, Vicent Aragó and Enrique Salvador
Jaume I University - Department of Finance and Accounting, Jaume I University - Department of Finance and Accounting and Universitat Jaume I - Department of Finance and Accounting

Abstract:

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asset allocation, high-frequency data, optimization, transaction costs, estimation error

4.

The Influence of Intraday Seasonality on Volatility Transmission Pattern

Posted: 03 Oct 2017
Nuria Alemany, Vicent Aragó and Enrique Salvador
Jaume I University - Department of Finance and Accounting, Jaume I University - Department of Finance and Accounting and Universitat Jaume I - Department of Finance and Accounting

Abstract:

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high-frequency data, intraday periodic component, flexible fourier form, realized volatility, volatility spillover