Intraday return spillovers and its variations across trading sessions
Chia-Ching Chang; Sheng-Syan Chen; Robin K. Chou; Chin-Wen Hsin
| Year of publication: |
2011
|
|---|---|
| Authors: | Chang, Chia-ching ; Chen, Sheng-syan ; Chou, Robin K. ; Hsin, Chin-wen |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 36.2011, 3, p. 355-390
|
| Subject: | Aggregate shock model | Intraday variation | Spillover effect | Spillover-Effekt | Schock | Shock | Volatilität | Volatility | Theorie | Theory | Börsenkurs | Share price | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009272478