Intraday seasonality and volatility pattern: an explanation with recurrence quantification analysis

DOI10.1142/S021812742350027XzbMATH Open1539.91124MaRDI QIDQ6537644FDOQ6537644

Authors: Güray Küçükkocaoğlu, Eyup Kadioglu 

Publication date: 14 May 2024

Published in: International Journal of Bifurcation and Chaos in Applied Sciences and Engineering (Search for Journal in Brave)

zbMATH Keywords

realized volatilityrecurrence plotrecurrence quantification analysisintraday volatilityintraday seasonalityintraday volatility pattern

Mathematics Subject Classification ID

Economic time series analysis (91B84) Financial markets (91G15)

Cites Work

• The Distribution of Realized Exchange Rate Volatility
• Title not available (Why is that?)
• Modeling and Forecasting Realized Volatility
• Title not available (Why is that?)
• Continuous Auctions and Insider Trading
• Forecasting the volatility of crude oil futures using intraday data
• Recurrence quantification analysis of the logistic equation with transients.
• Nonlinear analysis of bivariate data with cross recurrence plots
• RECURRENCE PLOT AND RECURRENCE QUANTIFICATION ANALYSIS TECHNIQUES FOR DETECTING A CRITICAL REGIME.

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