Chiarella, Carl; He, Xue-zhong; Pellizzari, Paolo - 2009
CHIARELLA§, XUE-ZHONG HE§ AND PAOLO PELLIZZARI†
§ SCHOOL OF FINANCE AND ECONOMICS
UNIVERSITY OF TECHNOLOGY, SYDNEY
PO BOX 123 … Codes: G12, D53.
This paper was written while Paolo Pellizzari was visiting the School of Finance
and Economics at the …. The data, relative to two non-overlapping pe-
riods of 8 years (1992-1999 and 2000-2007), are sampled in business
time, so …