Volatilities of different time resolutions — Analyzing the dynamics of market components
Tài liệu tham khảo
Admati, 1988, A theory of intraday patterns: Volume and price variability, The Review of Financial Studies, 1, 3, 10.1093/rfs/1.1.3
Baillie, 1996, Long memory processes and fractional integration in econometrics, Journal of Econometrics
Berndt, 1974, Estimation and inference in nonlinear structural models, Annals of Economic and Social Measurement, 3, 653
Bjorn, 1994, Optimal Multiresolution Decomposition of Financial Time-Series
Bollerslev, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1
Bollerslev, 1987, A conditionally heteroskedastic time series model for speculative prices and rates of return, Review of Economics and Statistics, 69, 542, 10.2307/1925546
Dacorogna, 1993, A geographical model for the daily and weekly seasonal volatility in the FX market, Journal of International Money and Finance, 12, 413, 10.1016/0261-5606(93)90004-U
Dacorogna, 1994, The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets
Dacorogna, 1995, Moment Condition for HARCH(k) Models
Ding, 1993, A long memory property of stock market returns and a new model, Journal of Empirical Finance, 1, 83, 10.1016/0927-5398(93)90006-D
Easley, 1992, Time and the process of security price adjustment, Journal of Finance, 47, 577, 10.2307/2329116
Engle, 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation, Econometrica, 50, 987, 10.2307/1912773
Engle, 1993, A Permanent and Transistory Component Model of Stock Return Volatility, UCSD Department of Economics Discussion Paper, 92-44R, 1
Engle, 1990, Meteor showers or heat waves? Heteroskedastic intradaily volatility in the foreign exchange market, Econometrica, 58, 525, 10.2307/2938189
Froot, 1992, Herd on the street: Informational inefficiencies in a market with short-term speculation, Journal of Finance, 47, 1461, 10.2307/2328947
Guillaume, 1994, From the Bird's Eye to the Microscope: A Survey of New Stylized Facts of the Intra-Daily Foreign Exchange Markets
Hamilton, 1994
LeBaron, 1992, Some relations between volatility and serial correlations in stock market returns, Journal of Business, 65, 199, 10.1086/296565
Loretan, 1994, Testing the covariance stationarity of heavy-tailed time series, Journal of Empirical Finance, 1, 211, 10.1016/0927-5398(94)90004-3
Lyons, 1995, Test of microstructural hypotheses in the foreign exchange market, Journal of Financial Economics, 39, 321, 10.1016/0304-405X(95)00832-Y
Meyn, 1993
Morris, 1994, Trade with heterogeneous prior beliefs and asymmetric information, Econometrica, 62, 1327, 10.2307/2951751
Müller, 1990, Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis, Journal of Banking and Finance, 14, 1189, 10.1016/0378-4266(90)90009-Q
Müller, 1993, Fractals and Intrinsic Time — A Challenge to Econometricians
Müller, 1993, Fractals and Intrinsic Time — A Challenge to Econometricians
1993
Osler, 1995, Exchange rate dynamics and speculator horizons, Journal of International Money and Finance, 14, 695, 10.1016/0261-5606(95)00029-E
Sentana, 1991, Quadratic ARCH models: A potential re-interpretation of ARCH models, LSE Financial Markets Group Discussion Paper 122, 1