The influence of intraday seasonality on volatility transmission pattern (Q5234350): Difference between revisions

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Latest revision as of 00:55, 29 August 2024

scientific article; zbMATH DE number 7110472
Language Label Description Also known as
English
The influence of intraday seasonality on volatility transmission pattern
scientific article; zbMATH DE number 7110472

    Statements

    The influence of intraday seasonality on volatility transmission pattern (English)
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    26 September 2019
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    high-frequency data
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    intraday periodic component
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    Fourier flexible form
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    realized volatility
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    volatility spillover
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    microstructure noise
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