This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatility of high frequency asset returns into components that may be easily interpreted and estimated. The conditional variance is expressed as a product of daily, diurnal and stochastic intraday...

This paper investigates the apparent comovement of equity prices in the Czech Republic, Hungary and Poland. It argues that the main underlying forces moving stock prices in small open emerging markets are of exogenous nature. It models the main factor driving prices in the region as an...