Risk and return: Long-run relations, fractional cointegration, and return predictability
Author:
Publisher
Elsevier BV
Subject
Strategy and Management,Economics and Econometrics,Finance,Accounting
Reference55 articles.
1. Heterogeneous information arrivals and return volatility dynamics;Andersen;Journal of Finance,1997
2. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Empirical Finance,1997
3. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001
4. The distribution of realized exchange rate volatility;Andersen;Journal of the American Statistical Association,2001
5. Modeling and forecasting realized volatility;Andersen;Econometrica,2003
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