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Decoupling Interday and Intraday Volatility Dynamics with Price Durations

Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan (2025) Decoupling Interday and Intraday Volatility Dynamics with Price Durations. Journal of Time Series Analysis, 46 (6). pp. 1224-1250. ISSN 0143-9782

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Item Type:
Journal Article
Journal or Publication Title:
Journal of Time Series Analysis
Uncontrolled Keywords:
Research Output Funding/yes_internally_funded
Subjects:
?? yes - internally fundedapplied mathematicsstatistics and probabilitystatistics, probability and uncertainty ??
Departments:
Lancaster University Management School > Accounting & Finance
ID Code:
229220
Deposited By:
ep_importer_pure
Deposited On:
06 May 2025 07:55
Refereed?:
Yes
Published?:
Published
Last Modified:
22 Oct 2025 22:00
URI:
https://eprints.lancs.ac.uk/id/eprint/229220