Inference on common intraday periodicity at high frequencies
type: Item
instance of: scholarly article
title: Inference on common intraday periodicity at high frequencies
author: Fan Wu
author: Xin-Bing Kong
author: Guanjun Wang
published in: Statistics \& Probability Letters
publication date: 2022-09-30T00:00:00Z
Mathematics Subject Classification ID: 62-XX
zbMATH DE Number: 7595500
zbMATH Keywords: intraday periodicity
zbMATH Keywords: spot volatility
zbMATH Keywords: common periodic factors
MaRDI profile type: Publication
full work available at URL: j.spl.2022.109646
OpenAlex ID: W4292166940
cites work: Time-Varying Periodicity in Intraday Volatility
cites work: Determining the Number of Factors in Approximate Factor Models
cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
cites work: Microstructure noise in the continuous case: the pre-averaging approach
cites work: On the number of common factors with high-frequency data
cites work: Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
cites work: Consistent variable selection in large panels when factors are observable
cites work: Quasi-maximum likelihood estimation of volatility with high frequency data
cites work: A Tale of Two Time Scales
DOI: 10.1016/J.SPL.2022.109646
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description: scientific article; zbMATH DE number 7595500