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Fig. 1. Sample and benchmark model population autocorrelograms. The solid line graphs thesample autocorrelogram for the 5-min log-squaredline refers to the theoretical autocorrelogram for the FISV model deparametersDecember 1, 1986 through December 1, 1996
Fig. 2. Log-periodogram estimates for 5-min log-squared Ylog-periodogram regression estimates for the 5-min log-squared series as a function of the band-width,asymptotic standard error from the regression in Eq
Fig. 3. Log-periodogram estimates for Yare de}$ returns at di!erent aggregation levels
Table 1
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