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Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns
Gallo, Giampiero M.
;
Hong, Yongmiao
;
Lee, Tae-Why
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Dipartimento di Statistica, Informatica, Applicazioni …
-
2001
functional-coefficient
(FC) model of Cai, Fan, and Yao (2000) where the coefficients are time-varying and dependent on the state …
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