Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249)
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scientific article; zbMATH DE number 6892673
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| English | Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment |
scientific article; zbMATH DE number 6892673 |
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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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0.8611748218536377
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0.7629442811012268
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0.7514341473579407
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0.7476046085357666
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