Intraday periodicity and volatility persistence in financial markets

Journal of Empirical Finance

Volumn 4, Issue 2-3, 1997, Pages 115-158

  Andersen, Torben G ^a   Bollerslev, Tim ^b,c  

^a NORTHWESTERN UNIVERSITY   (United States)

^b UNIVERSITY OF VIRGINIA   (United States)

^c NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

ARCH; Intraday periodicity; Temporal aggregation; Volatility

Indexed keywords

EID: 0031161196     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(97)00004-2     Document Type: Article

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