Intraday periodicity and volatility persistence in financial markets (1997) - Andersen T.G., Bollerslev T.
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- Annotation
- 1. Introduction
- 2. Intraday return periodicity
- 2.1. The Deutschemark- U.S. dollar foreign exchange data
- 2.2. The standard and poor's 500 stock index futures data
- 3. Characterization and modeling of the correlation structure in intraday returns
- 3.1. Intraday return correlations
- 3.2. Interpretation in terms of a suggestive intraday return model
- 3.3. Long-run implications and comparison to daily returns
- 4. Implications for volatility modeling and high frequency return aggregation
- 4.1. Characterization of the intraday returns at the various frequencies
- 4.2. Specification of the uolatili~ model and the associated persistence measures
- 4.3. Interpretation of the GARCH results .for different return frequencies
- 5. The dynamics of filtered and standardized intraday returns
- 5.1. Filtered foreign exchange returns
- 5.2. Standardized foreign exchange returns
- 5.3. Filtered equity returns
- 5.4. Standardized equity returns
- 6. Concluding remarks
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