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Intraday periodicity, long mem...
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Journal of empirical finance
Journal of econometrics
40
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1
Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market
Bollerslev, Tim
;
Cai, Jun
;
Song, Frank M.
- In:
Journal of empirical finance
7
(
2000
)
1
,
pp. 37-55
Persistent link: https://www.econbiz.de/10001511696
Saved in:
2
The components of the bid-ask spread in a limit-order market : evidence from the Tokyo Stock Exchange
Ahn, Hee-joon
;
Cai, Jun
;
Hamao, Yasushi
;
Ho, Richard Yan-ki
- In:
Journal of empirical finance
9
(
2002
)
4
,
pp. 399-430
Persistent link: https://www.econbiz.de/10001711953
Saved in:
3
Bank stocks, risk factors, and tail behavior
Yang, Huan
;
Cai, Jun
;
Huang, Lin
;
Marcus, Alan J.
- In:
Journal of empirical finance
63
(
2021
),
pp. 203-229
Persistent link: https://www.econbiz.de/10013259284
Saved in:
4
Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon
Andersen, Torben
;
Bollerslev, Tim
;
Lange, Steve
- In:
Journal of empirical finance
6
(
1999
)
5
,
pp. 457-477
Persistent link: https://www.econbiz.de/10001505784
Saved in:
5
Measuring and modeling systematic risk in factor pricing models using high-frequency data
Bollerslev, Tim
;
Zhang, Benjamin Y. B.
- In:
Journal of empirical finance
10
(
2003
)
5
,
pp. 533-558
Persistent link: https://www.econbiz.de/10001806961
Saved in:
6
Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market
Bollerslev, T.
;
Cai, J.
;
Song, F.M.
- In:
Journal of empirical finance
7
(
2000
)
1
,
pp. 37-56
Persistent link: https://www.econbiz.de/10007242671
Saved in:
7
The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange
Ahn, Hee-Joon
;
Cai, Jun
;
Hamao, Yasushi
;
Ho, Richard Y.K.
- In:
Journal of empirical finance
9
(
2002
)
4
,
pp. 399-430
Persistent link: https://www.econbiz.de/10007234580
Saved in:
8
Intraday periodicity and volatility persistence in financial markets
Andersen, T.G.
;
Bollerslev, T.
- In:
Journal of empirical finance
4
(
1997
)
2-3
,
pp. 115-158
Persistent link: https://www.econbiz.de/10007250568
Saved in:
9
Measuring and modeling systematic risk in factor pricing models using high-frequency data
Bollerslev, Tim
;
Zhang, Benjamin Y.B.
- In:
Journal of empirical finance
10
(
2003
)
5
,
pp. 533-558
Persistent link: https://www.econbiz.de/10007232493
Saved in:
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