Non-parametric estimation of intraday spot volatility: Disentangling instantaneous trend and seasonality

Econometrics

Volumn 3, Issue 4, 2015, Pages 864-887

  Vatter, Thibault ^a   Wu, Hau Tieng ^b   Chavez Demoulin, Valérie ^a   Yu, Bin ^c  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

^b UNIVERSITY OF TORONTO   (Canada)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Foreign exchange returns; Intraday spot volatility; Seasonality; Synchrosqueezing; Time frequency analysis

Indexed keywords

EID: 84977898496     PISSN: None     EISSN: 22251146     Source Type: Journal    
DOI: 10.3390/econometrics3040864     Document Type: Article

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