Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality
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- Greeshma Balabhadra & El Mehdi Ainasse & Pawel Polak, 2023. "High-Frequency Volatility Estimation with Fast Multiple Change Points Detection," Papers 2303.10550, arXiv.org, revised Jun 2024.
- Naeem, Muhammad & Shahbaz, Muhammad & Saleem, Kashif & Mustafa, Faisal, 2019. "Risk analysis of high frequency precious metals returns by using long memory model," Resources Policy, Elsevier, vol. 61(C), pages 399-409.
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Keywords
intraday spot volatility; seasonality; foreign exchange returns; time-frequency analysis; synchrosqueezing;All these keywords.
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