Chiang, Thomas C.; Yu, Hai-Chin; Wu, Ming-Chya - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 8, pp. 1555-1570
This paper investigates statistical properties of high-frequency intraday stock returns across various frequencies. Both time series and panel data are utilized to explore the properties of probability distribution, dynamic conditional correlations, and scaling analysis in Dow Jones Industrial...