Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market
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More about this item
Keywords
market microstructure; transaction horizon; high-frequency data; ACD; GARCH;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2010-04-17 (Econometric Time Series)
- NEP-MST-2010-04-17 (Market Microstructure)
- NEP-TRA-2010-04-17 (Transition Economics)
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