The Financial Crisis and Intraday Volatility: Comparative Analysis on China, Japan and the US Stock Markets
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- Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2010. "The Financial Crisis and Intraday Volatility: Comparative Analysis on China, Japan and the US Stock Markets," Discussion Papers in Economics and Business 10-29-Rev, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP), revised Mar 2011.
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KeywordsLehman crisis; high-frequency data; FIAPARCH model; intraday periodicity; FFF regression;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G01 - Financial Economics - - General - - - Financial Crises
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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