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    Predictive ability of low-frequency volatility measures: Evidence from the Hong Kong stock markets 

    Gan, Christopher; Nartea, Gilbert; Wu, Ji (Elsevier, 2018-09)
    We employ low-frequency data to estimate historical volatility measures for Hong Kong stocks and examine the relationship between these measures and the one-month ahead stock return over thirty-five years. First, we employ ...
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    Author
    Gan, Christopher (1)
    Nartea, Gilbert (1)
    Wu, Ji (1)
    Keyword1502 Banking, Finance and Investment (1)150205 Investment and Risk Management (1)
    asset pricing (1)
    Finance (1)Hong Kong stock markets (1)idiosyncratic volatility (1)
    maximum weekly returns (1)
    total volatility (1)weekly data (1)... View MoreDate Issued2018 (1)
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