Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1997.tb02722.x/fullpdf
Reference72 articles.
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3. Andersen , Torben G. Tim Bollerslev 1997a Intraday periodicity and volatility persistence in financial markets Journal of Empirical Finance
4. Andersen , Torben G. Tim Bollerslev 1997b DM-Dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies Journal of Finance
5. Long-memory processes and fractional integration in econometrics;Baillie;Journal of Econometrics,1996
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