Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market

A Theory of Intraday Patterns: Volume and Price Variability

Anat R. Admati, Paul Pfleiderer · Review of Financial Studies · 1988 · 3.2K citations

Empirical Finance, Intraday Patterns, Market Design +17

Stock return variances

Kenneth R. French, Richard Roll · Journal of Financial Economics · 1986 · 1.9K citations

Volatility Modeling, Asset Pricing, Business +2

Measuring the Information Content of Stock Trades

Joel Hasbrouck · The Journal of Finance · 1991 · 1.8K citations

Trade, Market Microstructure, Management +16

Transmission of Volatility between Stock Markets

Mervyn King, Sushil Wadhwani · Review of Financial Studies · 1990 · 1.6K citations

Empirical Finance, Volatility Modeling, Multivariate Stochastic Volatility +15

Intraday periodicity and volatility persistence in financial markets

Torben G. Andersen, Tim Bollerslev · Journal of Empirical Finance · 1997 · 1.3K citations

Volatility Persistence, Economics, Volatility Modeling +6