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

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

Bibliographic Details
Main Author: Anderson, Torben G.
Other Authors: Bollerslev, Tim, Das, Ashish
Format: Book
Language:English
Published: Cambridge National Bureau of Economic Research 1998.
Series:NBER working paper series no.6666
Subjects:
Foreign exchange market > Econometric models. > Japan.