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An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model
Cho, Jang Hyung - 2008
We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering...
Persistent link: https://www.econbiz.de/10009460480
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An autoregressive conditional filtering process to remove intraday seasonal volatility and its application to testing the noisy rational expectations model
Cho, Jang Hyung - 2008
We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering...
Persistent link: https://www.econbiz.de/10009460486