Detecting Intraday Periodicities with Application to High Frequency Exchange Rates
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Cites work
- A generalization of the non-parametric Henriksson-Merton test of market timing
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Characterization of cyclostationary random signal processes
- Detecting randomly modulated pulses in noise
- scientific article; zbMATH DE number 733051 (Why is no real title available?)
- scientific article; zbMATH DE number 3208729 (Why is no real title available?)
- Spectral based testing of the martingale hypothesis
Cited in
(8)- Negative autocorrelation around large jumps in intra-day foreign exchange data
- Change point dynamics for financial data: an indexed Markov chain approach
- Inference on common intraday periodicity at high frequencies
- Activity signature functions for high-frequency data analysis
- Study of the periodicity in Euro-US Dollar exchange rates using local alignment and random matrices
- Time-varying periodicity in intraday volatility
- Predictors for high frequency signals based on rational polynomial approximation of periodic exponentials
- Detecting fuzzy periodic patterns in futures spreads
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