Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns
By Torben G. Andersen, Tim Bollerslev, Ashish Das. 2001
119 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/01621249079c7899d39fd75db0887e699f32c6d9
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Kris Boudt
- Christophe Croux
- Sabéastien Laurent
- Jun Cai
- Frank M. Song
- Tim Bollerslev
- Sébastien-Yves Laurent
- Kevin Sheppard
In Finance
- Kris Boudt
- Christophe Croux
- Sabéastien Laurent
- Jun Cai
- Frank M. Song
- Tim Bollerslev
- V. Todorov
- Kevin Sheppard
Citations in the corpus
- Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market (2000, methodology): “by Andersen and Bollerslev 1998 and Andersen et al. 2000a , respectively.”
- Time-Varying Periodicity in Intraday Volatility (2019, unknown): “Third, [4] consider testing for changes in the periodic component of”
- Robust estimation of intraweek periodicity in volatility and jump detection (2011, methodology): “Andersen et al. (2007b) use a Bonferroni correction to control for the number of spurious jumps detected per day.”