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, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
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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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-19 (All new papers)
- NEP-MST-2011-03-19 (Market Microstructure)
- NEP-RMG-2011-03-19 (Risk Management)
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