Journal Article

Time-Varying Periodicity in Intraday Volatility

Journal of the American Statistical Association
Author(s)

Torben Gustav Andersen

Martin Thyrsgaard

Viktor Todorov

Date Published: 2019
Citations: Andersen, Torben Gustav, Martin Thyrsgaard, Viktor Todorov. 2019. Time-Varying Periodicity in Intraday Volatility. Journal of the American Statistical Association. 1695-1707.