Intraday periodicity and volatility persistence in financial markets
Publication
, Journal Article
Andersen, TG; Bollerslev, T
Published in: Journal of Empirical Finance
January 1, 1997
The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possible to uncover the complex intraday volatility dynamics that exists both within and across different financial markets. The explicit periodic modeling procedure developed here provides such a framework and thus sets the stage for a formal integration of standard volatility models with market microstructure variables to allow for a more comprehensive empirical investigation of the fundamental determinants behind the volatility clustering phenomenon. © 1997 Elsevier Science B.V.
Duke Scholars
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Published In
Journal of Empirical Finance
DOI
ISSN
0927-5398
Publication Date
January 1, 1997
Volume
4
Issue
2-3
Start / End Page
115 / 158
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1403 Econometrics
- 1402 Applied Economics
Citation
APA
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MLA
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Andersen, T. G., & Bollerslev, T. (1997). Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance, 4(2–3), 115–158. https://doi.org/10.1016/S0927-5398(97)00004-2
Andersen, T. G., and T. Bollerslev. “Intraday periodicity and volatility persistence in financial markets.” Journal of Empirical Finance 4, no. 2–3 (January 1, 1997): 115–58. https://doi.org/10.1016/S0927-5398(97)00004-2.
Andersen TG, Bollerslev T. Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance. 1997 Jan 1;4(2–3):115–58.
Andersen, T. G., and T. Bollerslev. “Intraday periodicity and volatility persistence in financial markets.” Journal of Empirical Finance, vol. 4, no. 2–3, Jan. 1997, pp. 115–58. Scopus, doi:10.1016/S0927-5398(97)00004-2.
Andersen TG, Bollerslev T. Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance. 1997 Jan 1;4(2–3):115–158.
Published In
Journal of Empirical Finance
DOI
ISSN
0927-5398
Publication Date
January 1, 1997
Volume
4
Issue
2-3
Start / End Page
115 / 158
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1403 Econometrics
- 1402 Applied Economics