Testing for market microstructure effects in intraday volatility : a reassessment of the Tokyo FX experiment

By: Anderson, Torben G.
Contributor(s): Bollerslev, Tim | Das, Ashish.
Material type: materialTypeLabelBookPublisher: Cambridge, Mass. : National Bureau of Economic Research, 1998Description: 21.Call No.: HG3977 A523T Subject(s): FOREIGN EXCHANGE MARKET -- JAPAN -- ECONOMETRIC MODELS | STOCK EXCHANGES -- ECONOMETRIC MODELS | ECONOMICS -- RESEARCH
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