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Intraday patterns, announcement effects, and volatility persistence in the Japanese government bond futures market

Shi, Weihua; Eisenberg, Laurence K.; Lee, Cheng F. - In: Review of Pacific Basin financial markets and policies 12 (2009) 1, pp. 63-85

Persistent link: https://www.econbiz.de/10003867391

Variation in stock return risks : an international comparison

Chiou, Wan-jiun Paul; Lee, Alice C.; Lee, Cheng F. - In: Review of Pacific Basin financial markets and policies 12 (2009) 2, pp. 245-266

Persistent link: https://www.econbiz.de/10003871586

The jump behavior of foreign exchange market : analysis of Thai Baht

Chang, Jow-Ran; Hung, Mao-Wei; Lee, Cheng F.; Lu, Hsin-Min - In: Review of Pacific Basin financial markets and policies 10 (2007) 2, pp. 265-288

Persistent link: https://www.econbiz.de/10003507283

R-2GAM stochastic volatility model : flexibility and calibration

Lee, Cheng F.; Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 45 (2015) 3, pp. 463-483

Persistent link: https://www.econbiz.de/10011531991

Volatility persistence of high-frequency returns in the Japanese government bond futures market

Shi, Weihua; Lee, Cheng F. - In: Review of Pacific Basin financial markets and policies 11 (2008) 4, pp. 511-530

Persistent link: https://www.econbiz.de/10003816725

Intraday return volatility process : evidence from NASDAQ stocks

Rahman, Shafiqur; Lee, Cheng F.; Ang, Kian Ping - In: Review of quantitative finance and accounting 19 (2002) 2, pp. 155-180

Persistent link: https://www.econbiz.de/10001719974

Assessing the impact of political unrest on currency returns : a look at Latin America

Chien, Chin-chen; Lee, Cheng F.; Wang, Andrew M. L. - In: The quarterly review of economics and finance : journal … 42 (2002) 1, pp. 155-162

Persistent link: https://www.econbiz.de/10001648626

Volatility Persistence of High-Frequency Returns in the Japanese Government Bond Futures Market

Shi, Weihua - 2010

The availability of a two-year high-frequency transaction data of the Japanese Government Bond (JGB) futures provides us with an opportunity to uncovering volatility persistence in high-frequency returns and testing the mixed-distribution-hypothesis (MDH) in this market. Both time-domain and...

Persistent link: https://www.econbiz.de/10013150586

Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

Shi, Weihua - 2010

Following Bollerslev et al. (2000), this study characterizes the high-frequency volatility of the Japanese Government Bond (JGB) futures on the Tokyo Stock Exchange (TSE) in terms of intraday calendar effects, announcement effects and volatility persistence effects. The results indicate that,...

Persistent link: https://www.econbiz.de/10013150622

Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

Shi, Weihua - 2009

Following Bollerslev et. al (2000), we do a similar study in terms of Japanese Government Bond (JGB) market. In this paper we characterize the high-frequency volatility of the Japanese Government Bond (JGB) futures on the Tokyo Stock Exchange (TSE) using five-minute returns from April 1998 to...

Persistent link: https://www.econbiz.de/10013159056