Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Kim Christensen, Ulrich Hounyo, Mark Podolskij
| Year of publication: |
2018
|
|---|---|
| Authors: | Christensen, Kim ; Hounyo, Ulrich ; Podolskij, Mark |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 205.2018, 2, p. 336-362
|
| Subject: | Bipower variation | Bootstrapping | Diurnal variation | High-frequency data | Microstructure noise | Pre-averaging | Time-varying volatility | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Nichtparametrisches Verfahren | Nonparametric statistics | Bootstrap-Verfahren | Bootstrap approach | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading | Börsenkurs | Share price | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.03.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012110287