Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
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Cites work
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Cited in
(20)- Testing the volatility jumps based on the high frequency data
- Intraday Periodic Volatility Curves
- Inference on volatility curve at high frequencies via functional data analysis
- A WILD BOOTSTRAP FOR DEPENDENT DATA
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
- Time-varying periodicity in intraday volatility
- On the interday homogeneity in the intraday rate of trading
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Detection of a structural break in intraday volatility pattern
- Disentangling Sources of High Frequency Market Microstructure Noise
- Cointegration in high frequency data
- On Bivariate Time-Varying Price Staleness
- Nonparametric estimation for high-frequency data incorporating trading information
- Inference for calendar effects in microstructure noise
- Statistical inferences for price staleness
- The effect of intraday periodicity on realized volatility measures
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- The local fractional bootstrap
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