A threshold error-correction model for intraday futures and index returns
نویسندگان
چکیده
منابع مشابه
Model for non-Gaussian intraday stock returns.
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence tha...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 1998
ISSN: 0883-7252,1099-1255
DOI: 10.1002/(sici)1099-1255(199805/06)13:3<245::aid-jae480>3.0.co;2-e