Intraday and interday volatility in the Japanese stock market

Journal of International Financial Markets, Institutions and Money

Volumn 10, Issue 2, 2000, Pages 107-130

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

^a NORTHWESTERN UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

^c CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Announcement effects; Arch; High frequency data; Intraday periodicity; Long memory; Nikkei 225

Indexed keywords

EID: 0034196868     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(99)00029-3     Document Type: Article

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