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Measuring and modeling systematic risk in factor pricing models using high-frequency data
Bollerslev, Tim; Zhang, Benjamin Y. B. - In: Journal of empirical finance 10 (2003) 5, pp. 533-558
Persistent link: https://www.econbiz.de/10001806961
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Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon
Andersen, Torben; Bollerslev, Tim; Lange, Steve - In: Journal of empirical finance 6 (1999) 5, pp. 457-477
Persistent link: https://www.econbiz.de/10001505784
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Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market
Bollerslev, Tim; Cai, Jun; Song, Frank M. - In: Journal of empirical finance 7 (2000) 1, pp. 37-55
Persistent link: https://www.econbiz.de/10001511696
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Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market
Bollerslev, T.; Cai, J.; Song, F.M. - In: Journal of empirical finance 7 (2000) 1, pp. 37-56
Persistent link: https://www.econbiz.de/10007242671
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Intraday periodicity and volatility persistence in financial markets
Andersen, T.G.; Bollerslev, T. - In: Journal of empirical finance 4 (1997) 2-3, pp. 115-158
Persistent link: https://www.econbiz.de/10007250568
Cover Image
Measuring and modeling systematic risk in factor pricing models using high-frequency data
Bollerslev, Tim; Zhang, Benjamin Y.B. - In: Journal of empirical finance 10 (2003) 5, pp. 533-558
Persistent link: https://www.econbiz.de/10007232493