Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
收藏NBER1996-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w5752
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资源简介：
Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies are typically observed with high-frequency intradaily returns.
提供机构：
美国国家经济研究局
创建时间：
1996-09-01
