Time-Varying Periodicity in Intraday Volatility
نویسندگان
چکیده
منابع مشابه
Intraday periodicity and volatility persistence in financial markets
The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possible to uncover the complex intraday volatility dynamics that exists both within and across different financial markets. The explicit periodic ...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2019
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.2018.1512864