Time-varying periodicity in intraday volatility
From MaRDI portal
Publication:5208074
Recommendations
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components
- Detecting Intraday Periodicities with Application to High Frequency Exchange Rates
- Volatility jumps
- Periodic Long-Memory GARCH Models
Cites work
- scientific article; zbMATH DE number 4096644 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- A multivariate nonparametric test of independence
- Brownian distance covariance
- Discretization of processes.
- Efficient estimation of integrated volatility incorporating trading information
- Estimation of jump tails
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Measuring and testing dependence by correlation of distances
- Microstructure noise in the continuous case: the pre-averaging approach
- Modeling and Forecasting Realized Volatility
- Multivariate nonparametric test of independence
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On Periodic Structures and Testing for Seasonal Unit Roots
- On high frequency estimation of the frictionless price: the use of observed liquidity variables
- On the estimation of integrated covariance matrices of high dimensional diffusion processes
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Some results in periodic autoregression
- Testing for Periodicity in a Time Series
- Testing for independence by the empirical characteristic function
- Testing that a stationary time series is Gaussian
- The realized Laplace transform of volatility
- Time series with periodic structure
Cited in
(23)- Volatility occupation times
- On the interday homogeneity in the intraday rate of trading
- Cointegration in high frequency data
- Asymptotic properties of correlation-based principal component analysis
- Overnight GARCH-Itô Volatility Models
- Volatility models for stylized facts of high‐frequency financial data
- Volatility analysis with realized GARCH-Itô models
- Inference on volatility curve at high frequencies via functional data analysis
- The influence of intraday seasonality on volatility transmission pattern
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- Estimation for high-frequency data under parametric market microstructure noise
- Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components
- Periodic autoregressive stochastic volatility
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Inference for calendar effects in microstructure noise
- Exchange holidays and stock price behavior on the Taiwan stock exchange
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- Inference on common intraday periodicity at high frequencies
- Intraday Periodic Volatility Curves
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Detecting Intraday Periodicities with Application to High Frequency Exchange Rates
- The effect of intraday periodicity on realized volatility measures
- Monitoring the intraday volatility pattern
This page was built for publication: Time-varying periodicity in intraday volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5208074)
