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~institution:"Institut de Préparation à l'Administration et à la Gestion (IPAG)"
~subject:"Time series analysis"
~subject:"long memory"
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Time series analysis
long memory
FIGARCH
1
Intraday volatility
1
persistence of announcement effects
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Lecarpentier-Moyal, Sylvie
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Prat, Georges
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Renou-Maissant, Patricia
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Uctumd, Remzi
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Institut de Préparation à l'Administration et à la Gestion (IPAG)
School of Economics and Management, University of Aarhus
7
Economics Department, Queen's University
6
Erasmus University Rotterdam, Econometric Institute
6
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
6
EconWPA
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Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
4
CESifo
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Facultat d'Economia i Empresa, Universitat de Barcelona
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
3
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Cowles Foundation for Research in Economics, Yale University
2
Department of Economics and Business, Universitat Pompeu Fabra
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Department of Economics, Rutgers University-New Brunswick
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International Centre for Economic Research (ICER)
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Aarhus Universitet / Afdeling for Nationaløkonomi
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Association Française de Cliométrie - AFC
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Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
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DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
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Department of Economics and Finance, College of Business and Economics
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Department of Economics, Boston College
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Department of Economics, University of California-San Diego (UCSD)
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Deutsche Bundesbank
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Development and Policies Research Center (Depocen)
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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HAL
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Institute of Economic Research, Kyoto University
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Instituto Valenciano de Investigaciones Económicas (IVIE)
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Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
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School of Economics, University College Dublin
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Shakai-Keizai-Kenkyūsho <Osaka>
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Stockholm China Economic Research Institute, Handelshögskolan i Stockholm
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Wirtschaftswissenschaftliche Fakultät, Universität Regensburg
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Zakład Ekonometrii Stosowanej, Szkoła Główna Handlowa w Warszawie
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Økonomisk Institut, Københavns Universitet
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Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data
Lecarpentier-Moyal, Sylvie
;
Prat, Georges
; …
-
Institut de Préparation à l'Administration et à la …
-
2013
the intraday volatility using a
FIGARCH
model and the intraday seasonality by the Fourier Flexible Form. We find that …
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