An unbiased autoregressive conditional intraday seasonal variance filtering process

DOI10.1080/14697688.2010.531281zbMath1241.91138OpenAlexW2155913188MaRDI QIDQ2893207

Jang Hyung Cho, Robert T. Daigler

Publication date: 26 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.531281

zbMATH Keywords

seasonalityfilteringseasonal adjustmentseasonal varianceU-shape

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)

Cites Work

• Differentiating intraday seasonalities through wavelet multi-scaling
• On periodic and multiple autoregressions
• Generalized autoregressive conditional heteroscedasticity
• Continuous Auctions and Insider Trading
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Multivariate Stochastic Variance Models
• Spectral Analysis of Seasonal Adjustment Procedures
• Modeling and Forecasting Realized Volatility
• Time series with periodic structure

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