Masulis, Ronald W; Ng, Victor K - In: Journal of Business & Economic Statistics 13 (1995) 4, pp. 365-78
The authors explore the time-series properties of stock returns on the London Stock Exchange around the 1986 market restructuring (Big Bang) and the 1987 stock market crash using a modified GARCH model. Using this general dynamic model, which allows intradaily returns to have different impacts...