Testing for Stationarity of Volatility Curves
The paper introduces a test for stability of hidden volatility curves over time using high-frequency financial data, revealing nonstationary variation in intraday volatility pattern over time in SP 500 futures data.
Featured in No. 9 on 26 Jul 2023 · 6 days after release · 2 citations today
- Released
- 20 Jul 2023
- First featured
- No. 9 · 26 Jul 2023
- Citations (Semantic Scholar)
- 2
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4516345
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).