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Time-Varying Periodicity in Intraday Volatility, Journal of the American Statistical Association
Torben Andersen, Martin Thyrsgaard, Viktor Todorov
Andersen, Torben, Martin Thyrsgaard, and Viktor Todorov. 2019. Time-Varying Periodicity in Intraday Volatility. Journal of the American Statistical Association. 114: 1695-1707.
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