Open AccessHeterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
Author(s) -
Torben G. Andersen,
Tim Bollerslev
Publication year - 1996
Language(s) - English
Resource type - Reports
DOI - 10.3386/w5752
Subject(s) - volatility (finance) , econometrics , economics , realized variance , financial economics