Modeling and Forecasting Realized Volatility
Journal of Econometrics A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns - ANDERSEN - 1997 - The Journal of Finance - Wiley Online Library
JRFM | Free Full-Text | Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time
vatter_wu_chavez_yu_2014
Volatility and dynamic dependence modeling: Review, applications, and financial risk management - So - 2022 - WIREs Computational Statistics - Wiley Online Library
Gale Academic OneFile - Document - Unseasonal seasonals?
Econometrics | Free Full-Text | Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality
PDF) Score-driven models of stochastic seasonality in location and scale: an application case study of the Indian rupee to USD exchange rate
PDF) The Distribution of Exchange Rate Volatility
JRFM | Free Full-Text | Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time
Econometrics | Free Full-Text | Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements - ScienceDirect
JRFM | Free Full-Text | Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time
Estimating Seasonality in the Mean and Variance with ARCH Models
Gale Academic OneFile - Document - Unseasonal seasonals?
PDF) Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements | Michiel De Pooter - Academia.edu
Intra-day seasonality | Download Scientific Diagram
Hedging Electricity Price Volatility Applying Seasonal and Trend Decomposition
JRFM | Free Full-Text | Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time
Modeling Long Memory in REITs - Cotter - 2008 - Real Estate Economics - Wiley Online Library
JRFM | Free Full-Text | Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time
pdf file of paper - Arizona State University
