EconPapers    
Economics at your fingertips  
 

Towards a unified framework for high and low frequency return volatility modeling

Torben Andersen () and Tim Bollerslev ()

Statistica Neerlandica, 1998, vol. 52, issue 3, 273-302

Abstract: This paper provides a selective summary of recent work that has documented the usefulness of high‐frequency, intraday return series in exploring issues related to the more commonly studied daily or lower‐frequency returns. We show that careful modeling of intraday data helps resolve puzzles and shed light on controversies in the extant volatility literature that are difficult to address with daily data. Among other things, we provide evidence on the interaction between market microstructure features in the data and the prevalence of strong volatility persistence, the source of significant day‐of‐the‐week effect in daily returns, the apparent poor forecast performance of daily volatility models, and the origin of long‐memory characteristics in daily return volatility series.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/1467-9574.00085

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:52:y:1998:i:3:p:273-302

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0039-0402

Access Statistics for this article

Statistica Neerlandica is currently edited by P. H. Franses

More articles in Statistica Neerlandica from Netherlands Society for Statistics and Operations Research
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2022-08-23
Handle: RePEc:bla:stanee:v:52:y:1998:i:3:p:273-302