An unbiased autoregressive conditional intraday seasonal variance filtering process
DOI10.1080/14697688.2010.531281zbMATH Open1241.91138OpenAlexW2155913188MaRDI QIDQ2893207FDOQ2893207
Authors: Jang Hyung Cho, Robert T. Daigler 
Publication date: 26 June 2012
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.531281
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Differentiating intraday seasonalities through wavelet multi-scaling
- Multivariate Stochastic Variance Models
- Modeling and Forecasting Realized Volatility
- Continuous Auctions and Insider Trading
- Time series with periodic structure
- On periodic and multiple autoregressions
- Spectral Analysis of Seasonal Adjustment Procedures
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