Analysis of High-Frequency Data

Author:

Russell Jeffrey R.,Engle Robert F.

Publisher

Elsevier

Reference59 articles.

1. A Theory of Intraday Patterns: Volume and Price Variability;Admati;The Review of Financial Studies,1988

2. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns;Andersen;The Journal of Finance,1997

3. The Distribution of Realized Stock Return Volatility;Andersen;Journal of Financial Economics,2001

4. Modeling and Forecasting Realized Volatility;Andersen;Econometrica,2003

5. Volatility, Financial Engineering;Bandi,2008

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