Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2004
equity
markets. Early empirical papers include Hamao, Masulis and Ng (1990) who examine spillover effects in
the returns and … total of 15,764 five-minute returns.
13
This is consistent with Fair (2002), who finds that most of the large moves in … factor. Assuming that the risk premium stays
approximately constant, however, a shock which appreciates (depreciates) the …