On Bivariate Time-Varying Price Staleness
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Publication:6190783
DOI10.1080/07350015.2023.2174547MaRDI QIDQ6190783
No author found.
Publication date: 6 March 2024
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Cites Work
- Quarticity and other functionals of volatility: efficient estimation
- High-dimensional copula-based distributions with mixed frequency data
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Testing for time-varying jump activity for pure jump semimartingales
- Statistical inferences for price staleness
- Estimation of volatility in a high-frequency setting: a short review
- EXcess Idle Time
- A closed-form formula characterization of the Epps effect
- Handbook of Volatility Models and Their Applications
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