| 題名: | Intra-Day Features of Realized Volatility: Evidence from an Emerging Market |
| 作者: | Burc Kayahan and Thanasis Stengos Burak Saltoğlu |
| 關鍵字: | intra-day volatility|realized volatility|Istanbul Stock Exchange |
| 期刊名/會議名稱: | international journal of business and economics |
| 摘要: | In this paper we investigate the intra-day properties of a recently proposed realized volatility_x000D_ concept using Istanbul Stock Exchange (ISE) 5-minute data returns for the period 1997_x000D_ to 2000. Using GARCH as a benchmark, we confirm recent findings in the literature that realized_x000D_ volatility provides a better fit than the normal GARCH model. |
| ISSN: | issn16070704 |
| 日期: | 2002/04/01 |
| 分類: | Volume01,No.1 |
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