Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
Year of publication: |
1996-09
|
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Authors: | Bollerslev, Tim ; Andersen, Torben G. |
Institutions: | National Bureau of Economic Research (NBER) |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | AP published as Torben G. Andersen and Tim Bollerslev. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance. Volume 52, issue 3. (1997) pp. 975-1005 Number 5752 |
Classification: | C22 - Time-Series Models ; E44 - Financial Markets and the Macroeconomy |
Source: |
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