Search Results

Modeling realized volatility on the Spanish intra-day electricity market,
Aitor Ciarreta and Ainhoa Zarraga, in Energy Economics (2016)
Keywords: Realized volatility; Intra-day electricity market; HAR model; Jumps; EGARCH;

Initial Investigations of Intra-Day News Flow of S&P500 Constituents,
Jim Kyung-Soo Liew and Zhechao Zhou, in Risks (2014)
Keywords: TRNA; news sentiments; intra-day prices; S&P500

Intra-Day Features of Realized Volatility: Evidence from an Emerging Market,
Burc Kayahan, Thanasis Stengos and Burak Saltoğlu, in International Journal of Business and Economics (2002)
Keywords: intra-day volatility; realized volatility; Istanbul Stock Exchange

The day of the week effects in the Stock Exchange of Casablanca: analysis by intraday and interday returns,
Aida Sy and Abdelkader Derbali, in International Journal of Critical Accounting (2015)
Keywords: day of the week effect; intraday returns; interday returns; market risk factors; GARCH; EGARCH; TGARCH; Stock Exchange of Casablanca; Morocco; stock returns; market volatility; stock markets.

An agent-based model of intra-day financialmarkets dynamics,
Jacopo Staccioli and Mauro Napoletano, from HAL (2018)
Keywords: Intra-day financial dynamics,Stylized facts,Agent-based artificial stock markets,Market microstructure,High frequency trading

An agent-based model of intra-day financialmarkets dynamics,
Jacopo Staccioli and Mauro Napoletano, from HAL (2018)
Keywords: Intra-day financial dynamics,Stylized facts,Agent-based artificial stock markets,Market microstructure,High frequency trading

Intraday Timing of General Collateral Repo Markets,
Kevin Clark, Adam Copeland, Robert Kahn, Antoine Martin, Mark Paddrik and Benjamin Taylor, from Federal Reserve Bank of New York (2021)
Keywords: repo; intra-day timing

The one-trading-day-ahead forecast errors of intra-day realized volatility,
Stavros Degiannakis, from University Library of Munich, Germany (2016)
Keywords: ARFIMA model, HAR model, intra-day data, predictive ability, realized volatility, ultra-high frequency modelling.

The one-trading-day-ahead forecast errors of intra-day realized volatility,
Stavros Degiannakis, in Research in International Business and Finance (2017)
Keywords: ARFIMA model; HAR model; Intra-day data; Predictive ability; Realized volatility; Ultra-high frequency modelling;

An improved incentive-based demand response program in day-ahead and intra-day electricity markets,
E. Shahryari, H. Shayeghi, B. Mohammadi-ivatloo and M. Moradzadeh, in Energy (2018)
Keywords: Demand response; Day-ahead market; Intra-day market; Incentive-based program;

Day-Ahead and Intra-Day Optimal Scheduling of Integrated Energy System Considering Uncertainty of Source & Load Power Forecasting,
Zhengjie Li and Zhisheng Zhang, in Energies (2021)
Keywords: integrated energy system; day-ahead and intra-day dispatch; integrated demand response; load forecasting; multi load

Using conditional probability to identify trends in intra-day high-frequency equity pricing,
Michael Rechenthin and W. Nick Street, in Physica A: Statistical Mechanics and its Applications (2013)
Keywords: Conditional probability; Stock prediction; Intra-day trading; High-frequency trading;

The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements,
Wenying Yao and Jing Tian, from University of Tasmania, Tasmanian School of Business and Economics (2015)
Keywords: volatility pattern, intra-day jumps, news announcements, high frequency data

Valuing intra-day coordination of electric power and natural gas system operations,
Michael Craig, Omar J. Guerra, Carlo Brancucci, Kwabena Addo Pambour and Bri-Mathias Hodge, in Energy Policy (2020)
Keywords: Power and gas coordination; Power system optimization; Natural gas simulation; Natural gas deliverability; Intra-day coordination;

Validating intra-day risk premium in cross-sectional return curves,
Yuqian Zhao, in Finance Research Letters (2021)
Keywords: Cross-sectional asset pricing; Intra-day return curves; Fama-MacBeth regression; Factor model; Risk premium;

Intra-day realized volatility for European and USA stock indices,
Stavros Degiannakis and Christos Floros, in Global Finance Journal (2016)
Keywords: Correlation of volatilities; Intra-day data; Realized volatility; Sampling frequency; Ultra-high frequency; Volatility signature plot;

An agent-based model of intra-day financial markets dynamics,
Jacopo Staccioli and Mauro Napoletano, in Journal of Economic Behavior & Organization (2021)
Keywords: Intra-day financial dynamics; Stylised facts; Agent-based artificial stock markets; Market microstructure; High-Frequency Trading;

Private and Public Information on the Nordic Intra-Day Electricity Market,
Ewa Lazarczyk, from Research Institute of Industrial Economics (2015)
Keywords: Private information; Public information; Non-scheduled announcements; Intra-day electricity market; Nord Pool; UMMs

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range,
Cathy W. S. Chen, Richard Gerlach, Bruce B. K. Hwang and Michael McAleer, from University of Canterbury, Department of Economics and Finance (2011)
Keywords: Value-at-Risk; CAViaR model; Skewed-Laplace distribution; intra-day range; backtesting; Markov chain Monte Carlo

Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range,
Cathy W. S. Chen, Richard Gerlach, Bruce B.K. Hwang and Michael McAleer, in International Journal of Forecasting (2012)
Keywords: Value-at-Risk; CAViaR model; Skewed–Laplace distribution; Intra-day range; Backtesting; Markov chain Monte Carlo;

Intra-day co-movements of crude oil futures: China and the international benchmarks,
Qiang Ji, Dayong Zhang and Yuqian Zhao, in Annals of Operations Research (2022)
Keywords: INE Crude oil futures, WTI and Brent, Intra-day co-movement patterns, Complex network model, Pairs trading

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range,
Cathy W. S. Chen, Richard Gerlach, Bruce B. K. Hwang and Michael McAleer, from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
Keywords: Value-at-Risk; CAViaR model; Skewed-Laplace distribution; intra-day range; backtesting, Markov chain Monte Carlo.

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range,
Cathy W. S. Chen, Richard Gerlach, Bruce Hwang and Michael McAleer, from Kyoto University, Institute of Economic Research (2011)
Keywords: Value-at-Risk; CAViaR model; Skewed-Laplace distribution; intra-day range; backtesting, Markov chain Monte Carlo.

Intraday and intraweek trade anomalies on the Czech stock market,
Oleg Deev and Dagmar Vágnerová Linnertová, in Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis (2012)
Keywords: stock market, stock returns, day-of-the-week effect, intraday effects, market efficiency

Day-Ahead and Intra-Day Collaborative Optimized Operation among Multiple Energy Stations,
Jingjing Zhai, Xiaobei Wu, Zihao Li, Shaojie Zhu, Bo Yang and Haoming Liu, in Energies (2021)
Keywords: integrated energy system; day-ahead and intra-day collaborative scheduling; PV power generation; multi-energy network; demand response

Timing matters: Intra-day shifts of economic activity and ambient ozone concentrations,
David Adler and Edson Severnini, in Journal of Public Economics (2023)
Keywords: Ambient ozone externalities; Timing of ozone precursor emissions; Time zone border; Intra-day shifts of economic activity; NOx Budget Program (NBP);

Intra-Day Realized Volatility for European and USA Stock Indices,
Stavros Degiannakis and Christos Floros, from University Library of Munich, Germany (2015)
Keywords: correlation of volatilities, intra-day data, model-free de-noising, realized volatility, sampling frequency, ultra-high frequency, volatility signature plot

Intraday effects of the currency market,
Siroos Khademalomoom and Paresh Narayan, in Journal of International Financial Markets, Institutions and Money (2019)
Keywords: Foreign exchange; Intraday effects; High frequency; Trading strategy;

Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume,
Jedrzej Bialkowski, Serge Darolles and Gaelle Le Fol, from HAL (2012)
Keywords: intra-day trading volume,execution risk,Volume Weighted Average Price order,trading costs in securities markets,Modeling

Analyzing Trade in Continuous Intra-Day Electricity Market: An Agent-Based Modeling Approach,
Priyanka Shinde, Ioannis Boukas, David Radu, Miguel Manuel de Villena and Mikael Amelin, in Energies (2021)
Keywords: intra-day electricity markets; agent-based modeling; adaptive learning; renewable energy sources

State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices,
Ping Chen Tsai, Cheoljun Eom and Chou Wen Wang, in International Review of Financial Analysis (2024)
Keywords: Intra-day volatility pattern; Jump; Realized volatility; Leverage effect; GARCH; High-frequency data;

Collaborative Optimal Pricing and Day-Ahead and Intra-Day Integrative Dispatch of the Active Distribution Network with Multi-Type Active Loads,
Chong Chen, Xuan Zhou, Xiaowei Yang, Zhiheng He, Zhuo Li, Zhengtian Li, Xiangning Lin, Ting Wen, Yixin Zhuo and Ning Tong, in Energies (2018)
Keywords: real-time price; interruptible load; response time; demand response model; multi-type active loads; active distribution network; day-ahead; intra-day; integrative dispatch

Potential benefits of optimal intra-day electricity hedging for the environment: the perspective of electricity retailers,
Raphaël Boroumand, Stéphane Goutte, Thomas Porcher and Khaled Guesmi, from HAL (2019)
Keywords: Electricity,Climate,Diversification,Risk,Intra-day,Hedging

Intra-Day-Patterns in the Colombian Exchange Market Index and VAR: Evaluation of Different Approaches,
Julio Alonso and Manuel Serna Cortés, from Universidad Icesi (2010)
Keywords: Backtesting, Intra-day, Financial Market, Garch-M, leverage effect, the day-of-the-week effect, the hour-of-the-day effect

Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model,
Stavros Degiannakis, from University Library of Munich, Germany (2004)
Keywords: ARCH models, Fractional Integration, Intra-Day Volatility, Long Memory, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting.

Optimal intra-day operations of behind-the-meter battery storage for primary frequency regulation provision: A hybrid lookahead method,
Kerui Wen, Weidong Li, Samson Shenglong Yu, Ping Li and Peng Shi, in Energy (2022)
Keywords: Optimal intra-day operations; Behind-the-meter battery storage; Primary frequency regulation; Electricity bill reduction; Value function approximation; Offline calculation;

Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model,
Gregory Rice, Tony Wirjanto and Yuqian Zhao, from University Library of Munich, Germany (2021)
Keywords: Crude oil intra-day return curves, volatility modeling and forecasting, functional GARCH-X model, long-range dependence, basis selection

Intra-Day and Seasonal Peak Shaving Oriented Operation Strategies for Electric–Hydrogen Hybrid Energy Storage in Isolated Energy Systems,
Changxing Yang, Xiaozhu Li, Laijun Chen and Shengwei Mei, in Sustainability (2024)
Keywords: isolated energy system; electric–hydrogen hybrid energy storage; intra-day and seasonal; peak shaving; sustainable operation; optimized operation

Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data,
Stavros Degiannakis and Artemis Potamia, from University Library of Munich, Germany (2016)
Keywords: Basel II, Basel III, Value-at-Risk, Expected Shortfall, volatility forecasting, intra-day data, multi-period-ahead, forecasting accuracy, risk modelling.

Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data,
Stavros Degiannakis and Artemis Potamia, in International Review of Financial Analysis (2017)
Keywords: Basel II; Basel III; Value-at-risk; Expected shortfall; Volatility forecasting; Intra-day data; Multi-period-ahead; Forecasting accuracy; Risk modeling;

Intraday-of-the-week effects: What do the exchange rate data tell us?,
Siroos Khademalomoom and Paresh Kumar Narayan, in Emerging Markets Review (2020)
Keywords: Foreign exchange; High frequency; Intraday effects; Profits;

Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?,
Massimiliano Caporin, Chia-Lin Chang and Michael McAleer, in International Review of Economics & Finance (2019)
Keywords: Trading range; Intra-day prices and returns; S&P 500 index; Crude oil futures; Natural gas futures; Ethanol futures; Day-night returns; Day-night volume; Day-night realized volatility; Asymmetry; Spillovers;

The day-of-the-week effects on the volatility: The role of the asymmetry,
Amelie Charles, in European Journal of Operational Research (2010)
Keywords: Day-of-the-week effects Asymmetry Volatility forecasts

The day-of-the week effects on the volatility: The role of the asymmetry,
Amelie Charles, from HAL (2010)
Keywords: Day-of-the-week effects,Asymmetry,Volatility forecasts

An agent-based model of intra day financial markets dynamics,
Jacopo Staccioli and Mauro Napoletano, from Observatoire Francais des Conjonctures Economiques (OFCE) (2018)
Keywords: Intra-day financial dynmaics, stylized facts, agent-based artificial stock markets, Market microstructure

Expiration-Day Effects - An Asian Twist,
Joseph K.W. Fung and Haynes H.M. Yung, from Hong Kong Institute for Monetary Research (2007)
Keywords: Asian-style settlement, index derivatives, expiration-day effects.

Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?,
Massimiliano Caporin, Chia-Lin Chang and Michael McAleer, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
Keywords: Trading range, Intra-day prices and returns, S&P 500 Index, Crude oil futures, Natural gas futures, Ethanol futures, Overnight returns, Overnight volume, Overnight realized volatility, Asymmetry, Spillovers

Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?,
Massimiliano Caporin, Chia-Lin Chang and Michael McAleer, from Tinbergen Institute (2016)
Keywords: Trading range, Intra-day prices and returns, S&P 500 Index, Crude oil futures, Natural gas futures, Ethanol futures, Overnight returns, Overnight volume, Overnight realized volatility, Asymmetry, Spillovers

Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?,
Massimiliano Caporin, Chia-Lin Chang and Michael McAleer, from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
Keywords: Trading range, Intra-day prices and returns, S&P 500 Index, Crude oil futures, Natural gas futures, Ethanol futures, Overnight returns, Overnight volume, Overnight realized volatility, Asymmetry, Spillovers.

Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data,
Sylvie Lecarpentier-Moyal, Georges Prat, Patricia Renou-Maissant and Remzi Uctum, from HAL (2013)
Keywords: Intraday volatility, long memory, persistence of announcement effects

Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data,
Sylvie Lecarpentier-Moyal, Georges Prat, Patricia Renou-Maissant and Remzi Uctum, from University of Paris Nanterre, EconomiX (2013)
Keywords: Intraday volatility, long memory, persistence of announcement effects

Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market,
Weihua Shi, Larry Eisenberg and Cheng Few Lee, in Review of Pacific Basin Financial Markets and Policies (RPBFMP) (2009)
Keywords: Intraday patterns, announcement effects, volatility persistence

Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul,
Hülya Cengiz, Ömer Bilen, Ali Hakan Büyüklü and Gülizar Damgacı, in Journal of Global Entrepreneurship Research (2017)
Keywords: The day of week effects, Market anomalies, Market efficiency, Monday effects

Day of the Week Effects: Recent Evidence from Nineteen Stock Markets,
Asli Bayar and Ozgur Berk Kan, in Central Bank Review (2002)
Keywords: Day of the Week Effects, Volatility, International Stock Markets

A Forgotten Issue: Distributional Effects of Day Care Subsidies in Germany,
Katharina Spiess, Michaela Kreyenfeld and Gert Wagner, in EconStor Open Access Articles and Book Chapters (2003)
Keywords: Day Care, Distributional effects, Germany, Income groups

Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility,
Kevin P. Evans and Alan E.H. Speight, in Research in International Business and Finance (2010)
Keywords: Exchange rates Intraday volatility Calendar effects Macroeconomic announcements

The day-of-the-Week effects of stock markets in different countries,
Jilin Zhang, Yongzeng Lai and Jianghong Lin, in Finance Research Letters (2017)
Keywords: Day-of-the-week effects; Rolling sample test; GARCH model; Stock markets;

Enhancing load, wind and solar generation forecasts in day-ahead forecasting of spot and intraday electricity prices,
Katarzyna Maciejowska, Weronika Nitka and Tomasz Weron, from Hugo Steinhaus Center, Wroclaw University of Science and Technology (2019)
Keywords: Renewables; Electricity prices; Day-ahead market; Intraday market; Forecasting

Intraday analysis of the limit order bias at the ex-dividend day of U.S. common stocks,
Vassilis Efthymiou and George Leledakis, from University Library of Munich, Germany (2013)
Keywords: Ex-dividend day; intraday price drop ratio; order flow bias

Intraday analysis of the limit order bias on the ex-dividend day of U.S. common stocks,
Vassilis A. Efthymiou, Athanasios Episcopos, George Leledakis and Emmanouil G. Pyrgiotakis, in International Review of Economics & Finance (2021)
Keywords: Ex-dividend day; Intraday price drop ratio; Order flow bias;

Strategic offering of a flexible producer in day-ahead and intraday power markets,
Tuomas Rintamäki, Afzal S. Siddiqui and Ahti Salo, in European Journal of Operational Research (2020)
Keywords: OR in energy; Day-ahead market; Intraday market; Strategic offering; Mathematical programming with equilibrium constraints;

PCA Forecast Averaging—Predicting Day-Ahead and Intraday Electricity Prices,
Katarzyna Maciejowska, Bartosz Uniejewski and Tomasz Serafin, in Energies (2020)
Keywords: electricity price forecasting; EPF; day-ahead market; intraday market; forecast averaging; principal component analysis; decision-making

PCA forecast averaging - predicting day-ahead and intraday electricity prices,
Katarzyna Maciejowska, Bartosz Uniejewski and Tomasz Serafin, from Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology (2020)
Keywords: Electricity price forecasting; Day-ahead market; Intraday market; Forecast averaging; Principal component analysis; Decision-making

Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices,
John Frain, from Trinity College Dublin, Economics Department (2008)
Keywords: alpha stable distribution, regression, day of week effects

The effects of wind power on electricity markets: A case study of the Swedish intraday market,
Xiao Hu, Jūratė Jaraitė and Andrius Kazukauskas, in Energy Economics (2021)
Keywords: Day-ahead market; Electricity; Forecast errors; Intraday market; Intraday price premia; Nuclear power outages; Sweden; Wind power;

Intra-Industry Effects of Delayed New Product Introductions,
Sheng-Syan Chen, Tsai-Yen Chung, Kim Wai Ho and Cheng Few Lee, in Review of Pacific Basin Financial Markets and Policies (RPBFMP) (2007)
Keywords: Product delays, intra-industry effects, information-signaling effect, competitive effect

The day of the week effects in Indonesia, Singapore, and Malaysia stock market,
Yunita Anwar and Martin Surya Mulyadi, from University Library of Munich, Germany (2009)
Keywords: The day of the week effects, anomaly, abnormal return, AR-EGARCH

Expiration day effects of stock and index futures on the Warsaw Stock Exchange,
Milena Suliga and Tomasz Wójtowicz, in Bank i Kredyt (2019)
Keywords: futures market, expiration day effects, stock market, event study

Day-of-the-week effects in selected East Asian stock markets,
Ricky Chia, Venus Liew and Syed Azizi Wafa Syed Khalid Wafa, from University Library of Munich, Germany (2007)
Keywords: calender anomalies; day-of-the-week effects; East Asian; EGARCH-M Model

A Forgotten Issue: Distributional Effects of Day Care Subsidies in Germany,
Michaela Kreyenfeld, Katharina Spiess and Gert Wagner, from DIW Berlin, German Institute for Economic Research (2000)
Keywords: Child day care, child care subsidies, distributional effects, social policy

A Forgotten Issue: Distributional Effects of Day Care Subsidies in Germany,
Michaela Kreyenfeld, Katharina Spiess and Gert Wagner, from Institute of Labor Economics (IZA) (2000)
Keywords: social policy, distributional effects, child care subsidies, Child day care

Forecasting day-ahead electricity load using a multiple equation time series approach,
Adam Clements, Stan Hurn and Z. Li, in European Journal of Operational Research (2016)
Keywords: Short-term load forecasting; Modelling seasonality; Intra-day load correlation;

Effects of Explanatory Variables in Count Data Moving Average Models,
Kurt Brännäs and Carl Lönnbark, from Umeå University, Department of Economics (2006)
Keywords: INMA model; Marginal effect; Intra-day; Financial data

Day-of-the-Week Effects in Subjective Well-Being: Does Selectivity Matter?,
Semih Tumen and Tugba Zeydanli, from University Library of Munich, Germany (2013)
Keywords: Day-of-the-week effects; subjective well-being; self-selection; treatment effects; BHPS.

Day-of-the-Week Effects in Subjective Well-Being: Does Selectivity Matter?,
Semih Tumen and Tugba Zeydanli, in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2014)
Keywords: Day-of-the-week effects, Subjective well-being, Self-selection, Treatment effects, BHPS,

Day-of-the-Week Effects in Subjective Well-Being: Does Selectivity Matter?,
Semih Tumen and Tugba Zeydanli, from Research and Monetary Policy Department, Central Bank of the Republic of Turkey (2013)
Keywords: Day-of-the-week effects; subjective well-being; self-selection; treatment effects; BHPS

Estimable intra-age, intra-period, and intra-cohort effects in age-period-cohort multiple classification models,
Robert M. O’Brien, in Quality & Quantity: International Journal of Methodology (2020)
Keywords: Age-period-cohort models, Intra-age, intra-period, intra-cohort effects, Age-period-cohort multiple classification models

How to Sell Renewable Electricity - Interactions of the Intraday and Day-ahead Market under Uncertainty,
Andreas Knaut and Frank Obermüller, from Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI) (2016)
Keywords: Cournot Competition; electricity markets; day-ahead market; intraday market; competition under uncertainty

An agent-based model of intra-day financial markets dynamics,
Jacopo Staccioli and Mauro Napoletano, from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2018)
Keywords: Intraday financial dynamics, Stylized facts, Agent-based artificial stock markets, Market microstructure, High-Frequency Trading

Testing the Weak-form Market Efficiency and the Day of the Week Effects of some African Countries,
Michael Batuo, Francesco Guidi and Kupukile Mlambo, in The African Finance Journal (2010)
Keywords: African stock markets, random walk hypothesis, day of the week effects

Testing the weak-form market efficiency and the day of the week effects of some African countries,
Michael Batuo Enowbi, Francesco Guidi and Kupukile Mlambo, from University Library of Munich, Germany (2009)
Keywords: African stock markets, random walk hypothesis, day of the week effects

Intraday Price Discovery in Emerging European Stock Markets,
Jan Hanousek and Evžen Kočenda, from The Center for Economic Research and Graduate Education - Economics Institute, Prague (2009)
Keywords: Price discovery, stock markets, intra-day data, macroeconomic news, European Union, volatility, excess impact of news.

Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data,
Remzi Uctum, Patricia Renou-Maissant, Georges Prat and Sylvie Lecarpentier-Moyal, from HAL (2017)
Keywords: Intraday volatility,High frequency modelling,Persistence of announcement effects,Firm-specific stock returns

Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data,
Remzi Uctum, Patricia Renou-Maissant, Georges Prat and Sylvie Lecarpentier-Moyal, in Review of Financial Economics (2017)
Keywords: Intraday volatility; High frequency modelling; Persistence of announcement effects; Firm-specific stock returns;

Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects,
Helen Higgs and Andrew C. Worthington, in The Energy Journal (2005)
Keywords: Electricity markets; GARCH; APARCH; Intraday price volatility; Calendar effects; Australia; Information arrival

Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume,
Dirk G. Baur, Daniel Cahill, Keith Godfrey and (Frank) Liu, Zhangxin, in Finance Research Letters (2019)
Keywords: Bitcoin; Day-of-week effects; January effect; Halloween effect; Arbitrage; Market efficiency;

Intra-day Futures Price Volatility: Information Effects and Variance Persistence,
P R Locke and C L Sayers, in Journal of Applied Econometrics (1993)

The fine structure of volatility feedback II: overnight and intra-day effects,
Pierre Blanc, R\'emy Chicheportiche and Jean-Philippe Bouchaud, from arXiv.org (2014)

The fine structure of volatility feedback II: Overnight and intra-day effects,
Pierre Blanc, Rémy Chicheportiche and Jean-Philippe Bouchaud, in Physica A: Statistical Mechanics and its Applications (2014)
Keywords: Volatility dynamics; GARCH models; Endogenous feedback; Stock markets; Overnight;

Announcement effects and seasonality in the intra-day foreign exchange market,
Richard Payne, from London School of Economics and Political Science, LSE Library (1996)