Overnight information and stochastic volatility: A study of European and US stock exchanges

Journal of Banking and Finance

Volumn 32, Issue 2, 2008, Pages 251-268

  Tsiakas, Ilias ^a  

^a UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Bayesian MCMC estimation; Opening call auction; Overnight information; Stochastic volatility

Indexed keywords

EID: 38749131287     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.03.008     Document Type: Article

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