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Intraday dynamics of volatility and duration:...
Journal article

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

Journal

, Vol. 20, No. 3, pp. 329–348

Publication Date

2012