The fine structure of volatility feedback. II: Overnight and intra-day effects (Q1782696)
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scientific article; zbMATH DE number 6939840
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| English | The fine structure of volatility feedback. II: Overnight and intra-day effects |
scientific article; zbMATH DE number 6939840 |
Statements
The fine structure of volatility feedback. II: Overnight and intra-day effects (English)
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20 September 2018
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volatility dynamics
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GARCH models
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endogenous feedback
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stock markets
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overnight
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0.7820904850959778
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0.7710840106010437
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0.7700900435447693
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0.759596586227417
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