Testing for market microstructure effects in intraday volatility
Subtitle: a reassessment of the Tokyo FX experiment
By: Torben G. Anderson [i.e. Andersen], Tim Bollerslev, Anish Das.
Contributors: Bollerslev, Tim, 1958-; Das, Ashish.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 6666; Working paper series (National Bureau of Economic Research) -- working paper no. 6666.
Publisher: National Bureau of Economic Research
Published: 1998
Place of publication: Cambridge, MA
Language: eng
Number of pages: 21
Subjects: Foreign exchange market -- Japan -- Econometric models.; Stock exchanges -- Econometric models.
Other titles: Market microstructure effects in intraday volatility; Reassessment of the Tokyo FX experiment.; Tokyo FX experiment; Reassessment of the Tokyo foreign exchange experiment
Notes: "July 1998."

JEL no. C12, C22, F33, G14, G15.

Includes bibliographical references (p. 19-21).

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Electronic version available via the Internet at the NBER World Wide Web site.