3参见DTCC:"CENTRAL COUUNTERPARITES:DEVELOPMENT,COOPERATION AND CONSOLIDATION",国际组织证券登记结算业务重要文献(下册),中国证券登记结算有限分司
二级参考文献5
1[1]Andersen, T. G. & T., Bollerslev, 1997, Intraday Periodicity and Volatility Persistence in Financial Markets,Journal of Empirical Finance.
2[2]Bollerslev, T., R. F. Engle, & D. B. Nelson, 1994,ARCH models, in Handbook of Econometrics, Vol 4,eds R.F. Engle & D. L. McFadden, Elsevier Science.
3[3]Easley,D.& O'Hara, 1992,Time and the Process of Security Price Adjustment, The Journal of Finance.
4[4]Pierre Giot, 1999, Time Transformations, Intraday Data and Volatility Models, Discussion Paper.
5[5]Pierre Lequeux, (eds), 1999,Financial Markets Tick by Tick, John Wiley & Sons Ltd.
