Time-Varying Periodicity in Intraday Volatility
From MaRDI portal
Publication:5208074
DOI10.1080/01621459.2018.1512864zbMath1428.62463MaRDI QIDQ5208074
Torben G. Andersen, Martin Thyrsgaard, Viktor Todorov
Publication date: 15 January 2020
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/192079536/Andersen2018_Time_varying_periodicity_in_intraday_volatility_AM.pdf
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
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