Intraday Periodic Volatility Curves

DOI10.1080/01621459.2023.2177546MaRDI QIDQ6567911zbMATH OpenFDO

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

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• The econometrics of high-frequency data
• Time-varying periodicity in intraday volatility
• When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility

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