Long Memory and Periodicity in Intraday Volatility
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/13/4/922/2377452/nbu006.pdf
Reference45 articles.
1. Intraday periodicity and volatility persistence in financial markets
2. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
3. Intraday and interday volatility in the Japanese stock market
4. Andersen T. G. Bollerslev T. Das A. Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment. 1998. NBER Working Paper No. 6666 .
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