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.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
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- Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- Gallo, Giampiero M, 2001.
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- Giampiero M. Gallo, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Volatility," Econometrics Working Papers Archive wp2001_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
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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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- NEP-ALL-2013-09-25 (All new papers)
- NEP-ECM-2013-09-25 (Econometrics)
- NEP-FMK-2013-09-25 (Financial Markets)
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