Intraday Volatility Prediction
The paper proposes a new method for predicting intraday volatility in financial data using Ito semimartingale models and a Two-side Projected-PCA procedure.
Featured in No. 39 on 6 Mar 2024 · 1 day after release
- Released
- 5 Mar 2024
- First featured
- No. 39 · 6 Mar 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4747889
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