Cao, Charles; Choe, Hyuk - In: Annals of Economics and Finance 1 (2000) 1, pp. 49-77
This study examines the evolution of transitory volatility over the week for NYSE/AMEX stocks. We treat the block of five trading days during a week as a single trading session and control for disproportionate rates of information arrival over the week by comparing variances of weekly returns...