Intraday Periodic Volatility Curves

DOI10.1080/01621459.2023.2177546MaRDI QIDQ6567911FDOQ6567911

Authors: Torben G. Andersen, Tao Su, Viktor Todorov, Zhiyuan Zhang 

Publication date: 5 July 2024

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Inference for functional data with applications
• Linear processes in function spaces. Theory and applications
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• Testing for jumps in noisy high frequency data
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• The econometrics of high-frequency data
• Inference for volatility-type objects and implications for hedging
• Testing stationarity of functional time series
• Functional data analysis for volatility
• Bootstrapping High-Frequency Jump Tests
• Optimum thresholding using mean and conditional mean squared error
• The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve
• When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
• Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
• Long-Range Dependent Curve Time Series
• A ReMeDI for Microstructure Noise

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