Intraday and interday volatility in the Japanese stock market
β Scribed by Torben G. Andersen; Tim Bollerslev; Jun Cai
- Book ID
- 117699650
- Publisher
- Elsevier Science
- Year
- 2000
- Tongue
- English
- Weight
- 220 KB
- Volume
- 10
- Category
- Article
- ISSN
- 1042-4431
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show
## Abstract Intraday volatility for the Eurodollar, the Euro/dollar foreign exchange rate, and the Eβmini S&P 500 futures contracts traded on a continuous 23βhour schedule on the Chicago Mercantile Exchange Globex electronic platform is studied. Volatility transmission in a single market across dif