Blanc, Pierre; Chicheportiche, Rémy; Bouchaud, … - In: Physica A: Statistical Mechanics and its Applications 402 (2014) C, pp. 58-75
We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently. For example, while past intra-day returns affect equally the future intra-day...