Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment
收藏NBER1998-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w6666
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资源简介：
This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that constitute a focal point of much market microstructure theory. Our empirical analysis is motivated by the recent lifting of trading restrictions in the interbank foreign exchange (FX)
提供机构：
美国国家经济研究局
创建时间：
1998-07-01
