39
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Examining intraday returns with buy/sell information

&
Pages 447-461 | Published online: 07 Oct 2010

References

  • Andersen , T. G. and Bollerslev , T. 1997 . Intraday periodicity and volatility persistence in financial markets . Journal of Empirical Finance , 2–3 : 115 – 158 .
  • Bollerslev , T. 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 327 .
  • Bollerslev , T. , Chou , R. Y. and Kroner , K. F. 1992 . Arch modeling in finance: a review of the theory and empirical evidence . Journal of Econometrics , 52 : 5 – 59 .
  • Durland , J. M. and McCurdy , T. H. 1994 . Duration-dependent transitions in a Markov model of US gnp growth . Journal of Business and Economic Statistics , 12 : 279 – 288 .
  • Engle , R. F. 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1007 .
  • Engle , R. F. 1993 . Statistical models for financial volatility . Financial Analysts Journal , 49 : 72 – 78 .
  • Filardo , A. J. 1994 . Business-cycle phases and their transitional dynamics . Journal of Business and Economic Statistics , 12 : 299 – 308 .
  • Filardo , A. J. and Gordon , S. F. 1998 . Business cycle durations . Journal of Econometrics , 85 : 99 – 123 .
  • Goodhart , C. A. E. and Figliuoli , L. 1991 . Every minute counts in financial markets . Journal of International Money and Finance , 10 : 23 – 52 .
  • Goodhart , C. A. E. and O'Hara , M. 1997 . High frequency data in financial markets: Issues and applications . Journal of Empirical Finance , 2–3 : 73 – 114 .
  • Granger , C. W. J. and Teräsvirta , T. 1993 . Modelling Nonlinear Economic Relationships , New York : Oxford University Press .
  • Hamilton , J. D. 1989 . A new approach to the economic analysis of nonstationary time series and the business cycle . Econometrica , 57 : 357 – 384 .
  • Hamilton , J. D. and Susmel , R. 1994 . Autoregressive conditional heteroskedasticity and changes in regime . Journal of Econometrics , 64 : 307 – 333 .
  • Locke , P. R. and Sayers , C. L. 1993 . Intra-day futures price volatility: information effects and variance persistence . Journal of Applied Econometrics , 8 : 15 – 30 .
  • McLeod , A. I. and Li , W. K. 1983 . Diagnostic checking arma time series models using squared residual autoregressions . Journal of Time Series Analysis , 4 : 169 – 176 .
  • Ramsey , J. B. 1969 . Tests for specification errors in classical linear least-squares regression analysis . Journal of the Royal Statistical Society , 31 : 350 – 371 . Series B
  • Ross , S. A. 1987 . The interrelations of finance and economics: theoretical perspectives . American Economic Review , 77 : 29 – 34 .
  • Sin , C.-Y. and White , H. 1992 . Testing for functional specification in time series: a robust approach , Dept. of Economics, UCSD . Working paper
  • Teräsvirta , T. 1994 . Specification, estimation, and evolution of smooth transition autoregressive models . Journal of the American Statistical Association , 89 : 208 – 217 .
  • Teräsvirta , T. , Tj⊘stheim , D. and Granger , C. 1994 . “ Aspects of modelling nonlinear time series ” . In Handbook of Econometrics , Edited by: Engle , R. and McFadden , D. Volume IV , Amsterdam : Elsevier .
  • Tong , H. 1983 . Threshold Models in Nonlinear Time Series Analysis , New York : Springer-Verlag .
  • Tong , H. 1990 . Nonlinear Time Series Analysis: A Dynamical System Approach , New York : Oxford University Press .
  • Zhou , B. 1996 . High-frequency data and volatility in foreign exchange rates . Journal of Business and Economic Statistics , 14 ( 1 ) : 45 – 52 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.