Author:
Beltratti Andrea,Morana Claudio
Subject
Economics and Econometrics,Finance
Reference25 articles.
1. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Empirical Finance,1997
2. Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns;Andersen;Journal of Finance,1997
3. Andersen, T.G., Bollerslev, T., 1997c. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts. Paper no. 6023. National Bureau of Economic Research, Cambridge, MA.
4. Deutsche mark–dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies;Andersen;Journal of Finance,1998
5. The message in daily exchange rates: A conditional-variance tale;Baillie;Journal of Business and Economic Statistics,1989
Cited by
47 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献