Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2004 - rev
and Ng (1990) who examine spillover effects in
the returns and volatilities of daily price changes for the Japanese, U … total of 15,764 five-minute returns.
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This is consistent with Fair (2002), who finds that most of the large moves in … corresponding stochastic discount factor. Assuming that the risk premium stays
approximately constant, however, a shock which …