An unbiased autoregressive conditional intraday seasonal variance filtering process
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Publication:2893207
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Cites work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Continuous Auctions and Insider Trading
- Differentiating intraday seasonalities through wavelet multi-scaling
- Generalized autoregressive conditional heteroscedasticity
- Modeling and Forecasting Realized Volatility
- Multivariate Stochastic Variance Models
- On periodic and multiple autoregressions
- Spectral Analysis of Seasonal Adjustment Procedures
- Time series with periodic structure
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