Intraday periodicity and volatility persistence in financial markets

Authors: Andersen T.G.; Bollerslev T.1

Source: Journal of Empirical Finance, Volume 4, Number 2, June 1997 , pp. 115-158(44)

Publisher: Elsevier

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Keywords: [JEL classification codes] C14; [JEL classification codes] C22; [JEL classification codes] G14; [JEL classification codes] G15; Volatility; Intraday periodicity; Temporal aggregation; ARCH

Language: English

Document Type: Research article

DOI: 10.1016/S0927-5398(97)00004-2

Affiliations: 1: Department of Economics, Rouss Hall, University of Virginia, Charlottesville, VA 22901, USA

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