Intraday Periodic Volatility Curves-Reference-Cited by-同舟云学术

Intraday Periodic Volatility Curves

Published:2023-03-16 Issue: Volume: Page:1-11
ISSN:0162-1459
Container-title:Journal of the American Statistical Association
language:en
Short-container-title:Journal of the American Statistical Association

Author:

Andersen Torben G.¹,Su Tao²,Todorov Viktor³,Zhang Zhiyuan⁴

Affiliation:

1. Kellogg School of Management, Northwestern University, NBER, and CREATES, Evanston, USA

2. School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, China

3. Kellogg School of Management, Northwestern University, Evanston, USA

4. School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China

Funder

National Natural Science Foundation of China

Innovative Research Team of Shanghai University of Finance and Economics

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/01621459.2023.2177546

Reference34 articles.

1. Testing for jumps in noisy high frequency data

2. Intraday periodicity and volatility persistence in financial markets

3. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

4. Andersen, T. G., Bondarenko, O., Kyle, A. S., and Obizhaeva, A. A. (2018), “Intraday Trading Invariance in the e-Mini s&p 500 Futures Market,” Working Paper.

5. Time-Varying Periodicity in Intraday Volatility

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