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

DOI10.1142/S021812742350027XMaRDI QIDQ6537644zbMATH OpenFDO

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

• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Continuous Auctions and Insider Trading
• Forecasting the volatility of crude oil futures using intraday data
• Modeling and Forecasting Realized Volatility
• Nonlinear analysis of bivariate data with cross recurrence plots
• RECURRENCE PLOT AND RECURRENCE QUANTIFICATION ANALYSIS TECHNIQUES FOR DETECTING A CRITICAL REGIME.
• Recurrence quantification analysis of the logistic equation with transients.
• The Distribution of Realized Exchange Rate Volatility

This page was built for publication: Intraday seasonality and volatility pattern: an explanation with recurrence quantification analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6537644)