Browsing by Subject "Intraday volatility"
Now showing items 1-1 of 1
-
Whether Cross-Listing, Stock-speci c and Market-wide Calendar Events impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market using High-frequency Data
(2013-11-25)Using high-frequency stock price data, we investigate the e ect of various stock- speci c and market-wide events on intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF ...