Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Original languageEnglish
JournalJournal of Econometrics
Volume205
Issue number2
Pages (from-to)336-362
ISSN0304-4076
DOIs
Publication statusPublished - 2018

    Research areas

  • Bipower variation, Bootstrapping, Diurnal variation, High-frequency data, Microstructure noise, Pre-averaging, Time-varying volatility

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