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Intraday Return Volatility Process: Evidence from NASDAQ Stocks · Study

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ArticleIntraday Return Volatility Process: Evidence from NASDAQ Stocks

Shafiqur Rahman2002

Article2002

Intraday Return Volatility Process: Evidence from NASDAQ Stocks

Shafiqur Rahman · Chih‐Yung Lin · Kian Ping Ang

54 citations·0/0 files stored·Review of Quantitative Finance and Accounting

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1985Continuous Auctions and Insider Trading 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1992ARCH modeling in finance

Cited by

2015Intraday volatility interaction between the crude oil and equity markets 2011The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX30 2020An empirical study on the role of trading volume and data frequency in volatility forecasting 2020Measuring the effect of investor sentiment on liquidity 2009A Profile of Innovative Women Entrepreneurs

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Year2002

Typearticle

Published2002-09-01

VenueReview of Quantitative Finance and Accounting

ISSN-L0924-865X

Languageen

Citations54

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1023/a:1020683012149

openalex_workW1598544775

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