Time-varying periodicity in intraday volatility (Q5208074)
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scientific article; zbMATH DE number 7151255
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| English | Time-varying periodicity in intraday volatility |
scientific article; zbMATH DE number 7151255 |
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Time-Varying Periodicity in Intraday Volatility (English)
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15 January 2020
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high-frequency data
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periodicity
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semimartingale
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specification test
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stochastic volatility
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0.8611748218536377
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0.796890377998352
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0.7676417827606201
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0.7568697929382324
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