Time-varying periodicity in intraday volatility
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Publication:5208074
DOI10.1080/01621459.2018.1512864zbMATH Open1428.62463OpenAlexW2784931388MaRDI QIDQ5208074FDOQ5208074
Authors: 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
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Cites Work
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Cited In (22)
- Overnight GARCH-Itô Volatility Models
- Intraday Periodic Volatility Curves
- Volatility analysis with realized GARCH-Itô models
- Inference on volatility curve at high frequencies via functional data analysis
- Volatility occupation times
- Asymptotic properties of correlation-based principal component analysis
- Inference on common intraday periodicity at high frequencies
- On the interday homogeneity in the intraday rate of trading
- Volatility models for stylized facts of high‐frequency financial data
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Exchange holidays and stock price behavior on the Taiwan stock exchange
- Cointegration in high frequency data
- Estimation for high-frequency data under parametric market microstructure noise
- Inference for calendar effects in microstructure noise
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- The effect of intraday periodicity on realized volatility measures
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- Periodic autoregressive stochastic volatility
- Detecting Intraday Periodicities with Application to High Frequency Exchange Rates
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Monitoring the intraday volatility pattern
- Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components
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