Experts has a new look! Let us know what you think of the updates.

Provide feedback
Home
Scholarly Works
Intraday dynamics of volatility and duration:...
Scholarly edition

Intraday dynamics of volatility and duration: Evidence from Chinese stocks

Abstract

We propose a new joint model of intraday returns and durations to study the dynamics of several Chinese stocks. We include three U.S. stocks for comparison. Flexible innovation distributions are used for durations and returns, and the total variance of returns is decomposed into different volatility components associated with different transaction horizons. The new model provides strong improvements in density forecasts for duration and returns …

Authors

Liu C; Maheu JM

Pagination

pp. 329-348

Publisher

Elsevier

Publication Date

June 2012

DOI

10.1016/j.pacfin.2011.11.001