Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249): Difference between revisions
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| Property / DOI: 10.1016/j.jeconom.2018.03.016 / rank | |||
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| Property / DOI: 10.1016/J.JECONOM.2018.03.016 / rank | |||
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Latest revision as of 14:39, 16 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment |
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Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (English)
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21 June 2018
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bipower variation
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bootstrapping
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diurnal variation
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high-frequency data
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microstructure noise
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pre-averaging
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time-varying volatility
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