@article{publication-5958,
	author={Gençay, Ramazan and Xue, Yi},
	doi={10.1016/j.jbankfin.2011.09.008},
	issn={0378-4266},
	journal={Journal of Banking and Finance},
	number=3,
	pages={760-773},
	publisher={Elsevier},
	title={Trading Frequency and Volatility Clustering},
	volume=36,
	year=2012,
}