• Corpus ID: 14417369

Statistical Properties, Dynamic Conditional Correlation, Scaling Analysis of High-Frequency Intraday Stock Returns: Evidence from Dow-Jones and Nasdaq Indices

@inproceedings{Chiang2009StatisticalPD,
  title={Statistical Properties, Dynamic Conditional Correlation, Scaling Analysis of High-Frequency Intraday Stock Returns: Evidence from Dow-Jones and Nasdaq Indices},
  author={Thomas C. Chiang and Hai-Chin Yu and Ming-Chya Wu},
  year={2009}
}
This paper investigates statistical properties of high-frequency intraday stock returns across various frequencies. Both time series and panel data are employed to explore probability distribution properties, autocorrelations, dynamic conditional correlations, and scaling analysis in the Dow Jones Industrial Average (DJIA) and the NASDAQ intraday returns across 10-minute, 30-monute, 60-minute, 120-minute, and 390-minute frequencies from August 1, 1997, to December 31, 2003. The evidence shows… 

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