The fine structure of volatility feedback II: overnight and intra-day effects
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References listed on IDEAS
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
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- Todorova, Neda & Souček, Michael, 2014. "Overnight information flow and realized volatility forecasting," Finance Research Letters, Elsevier, vol. 11(4), pages 420-428.
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