Heterogeneous information arrivals and return volatility dynamics
Subtitle: uncovering the long-run in high frequency returns
By: Torben G. Andersen, Tim Bollerslev.
Contributors: Bollerslev, Tim, 1958-; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 5752; Working paper series (National Bureau of Economic Research) -- working paper no. 5752.
Publisher: National Bureau of Economic Research
Published: 1996
Place of publication: Cambridge, MA
Language: eng
Number of pages: 32
Subjects: Rate of return -- Econometric models.; Foreign exchange market -- Econometric models.; Assets (Accounting) -- Prices -- Econometric models.
Notes: "September 1996."

Includes bibliographical references (p. 26-32).

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