Intraday and interday volatility in the Japanese stock market
By Torben G. Andersen, Tim Bollerslev, Jun Cai. 2000
183 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/83e604873c5e50cd5b617629bd7e5545029ae228
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Kris Boudt
- Evézen Kocenda
- Ali M. Kutan
- Christophe Croux
- Stavros Degiannakis *
- Mikkel Bennedsen
- Asger Lunde
- Inessa Love
In Finance
- Kris Boudt
- Evézen Kocenda
- Christophe Croux
- Stavros Degiannakis *
- Mikkel Bennedsen
- Asger Lunde
- Inessa Love
- Mikko S. Pakkanen
Citations in the corpus
- The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data (2009, background): “stock markets (e.g., Albuquerque and Vega, 2006 ).”
- Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market (2000, unknown): “1997b, 1998 , and Andersen et al. 2000a .”
- Decoupling the Short- and Long-Term Behavior of Stochastic Volatility (2016, background): “Intraday modeling of asset return volatility is of importance in several applications, including derivatives pricing, high-frequency trading, and risk management (Andersen et al., 2000; Rossi and Fantazzini, 2015). The time scale at which volatility should be assessed depends on the intended applica”
- Robust estimation of intraweek periodicity in volatility and jump detection (2011, methodology): “can be used to increase the accuracy of the non-parametric jump detection methods proposed by Andersen et al. (2007) and Lee and Mykland (2008).”
- Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review (2004, background): “…high as the market microstructure features do not induce bias to volatility estimator, i.e. Andersen and Bollerslev (1998a), Andersen et al. (1999), Andersen et al. (2000a), Andersen et al. (2001a), Areal and Taylor (2000), Kayahan et al. (2002) used a sampling frequency of 5- minites for heavily…”
- The dynamics of exchange rate volatility: A panel VAR approach (2014, methodology): “…decades spectral analysis has been used to study volatility of macroeconomic and financial time series, including stock prices and exchange rates (e.g., Bertoneche, 1979; Hasbrouck and Sofianos, 1993; Andersen and Bollerslev, 1997; Gerlach, 1988; Andersen et al., 2000; Grossmann and Orlov, 2014).”