Work

Detection of a structural break in intraday volatility pattern

Year: 2024

Type: article

Source: Stochastic Processes and their Applications

DOI: 10.1016/j.spa.2024.104426

Authors: Piotr Kokoszka, Tim Kutta, Neda Mohammadi, Haonan Wang, Shixuan Wang

Institutions: Colorado State University, University of Reading

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funders: National Science Foundation, University of Liverpool, Shanghai Maritime University, City, University of London

Award: ATD: Threat Detection Based on Simultaneous Monitoring of Complex Signals from Multiple Sources

OpenAlex ID: W4400391133

FWCI: 1.063

Cites: 36

Cited by: 3

Related to: 10