Wongswan, Jon - Federal Reserve Board (Board of Governors of the … - 2005
available
on request.
11
where R
i,t
is the return of country i stock market index on day t, TS is the target surprise, PS … for Thailand is computed
from thirty minutes to forty-five minutes after the Thai stock market opens. This return … with Stock
Market Data, Journal of Finance 51, 1743-1763.
Andersen, Torben, Tim Bollerslev, Francis X. Diebold, and …