Journal of Finance Vol. 52 No. 3 1997

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns

Torben G. Andersen^1,2; Tim Bollerslev^1,3,2

¹ Northwestern University · ² University of Virginia · ³ National Bureau of Economic Research

Abstract

Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies are typically observed with high-frequency intradaily returns.

DOI

10.2307/2329513

Volume

52

Issue

3

Pages

975

Sources

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