The fine structure of volatility feedback. II: Overnight and intra-day effects (Q1782696): Difference between revisions
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| Property / arXiv ID: 1309.5806 / rank | |||
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| Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank | |||
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| Property / cites work: Fractionally integrated generalized autoregressive conditional heteroskedasticity / rank | |||
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| Property / cites work: The fine-structure of volatility feedback. I: Multi-scale self-reflexivity / rank | |||
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| Property / cites work: Quadratic ARCH Models / rank | |||
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| Property / cites work: Heterogeneous volatility cascade in financial markets / rank | |||
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| Property / cites work: Handbook of econometrics. Vol. 4 / rank | |||
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Latest revision as of 15:01, 16 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The fine structure of volatility feedback. II: Overnight and intra-day effects |
scientific article |
Statements
The fine structure of volatility feedback. II: Overnight and intra-day effects (English)
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20 September 2018
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volatility dynamics
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GARCH models
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endogenous feedback
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stock markets
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overnight
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