Andersen, T., & Bollerslev, T. (1996). Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns. National Bureau of Economic Research.
Chicago Style (17th ed.) CitationAndersen, Torben, and Tim Bollerslev. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-run in High Frequency Returns. Cambridge: National Bureau of Economic Research, 1996.
MLA (9th ed.) CitationAndersen, Torben, and Tim Bollerslev. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-run in High Frequency Returns. National Bureau of Economic Research, 1996.
Warning: These citations may not always be 100% accurate.