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  • JTSA-6180-R2

    Accepted author manuscript, 2.43 MB, PDF document

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Decoupling Interday and Intraday Volatility Dynamics with Price Durations

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Forthcoming

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Decoupling Interday and Intraday Volatility Dynamics with Price Durations. / Li, Yifan; Nolte, Ingmar; Nolte, Sandra et al.
In: Journal of Time Series Analysis, 05.05.2025.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Li, Y, Nolte, I, Nolte, S & Yu, S 2025, 'Decoupling Interday and Intraday Volatility Dynamics with Price Durations', Journal of Time Series Analysis. <https://ssrn.com/abstract=4850075>

APA

Li, Y., Nolte, I., Nolte, S., & Yu, S. (in press). Decoupling Interday and Intraday Volatility Dynamics with Price Durations. Journal of Time Series Analysis. https://ssrn.com/abstract=4850075

Vancouver

Li Y, Nolte I, Nolte S, Yu S. Decoupling Interday and Intraday Volatility Dynamics with Price Durations. Journal of Time Series Analysis. 2025 May 5.

Author

Li, Yifan ; Nolte, Ingmar ; Nolte, Sandra et al. / Decoupling Interday and Intraday Volatility Dynamics with Price Durations. In: Journal of Time Series Analysis. 2025.

Bibtex

@article{45e532af45fe4d5580264b052d954c13,
title = "Decoupling Interday and Intraday Volatility Dynamics with Price Durations",
author = "Yifan Li and Ingmar Nolte and Sandra Nolte and Shifan Yu",
year = "2025",
month = may,
day = "5",
language = "English",
journal = "Journal of Time Series Analysis",
issn = "0143-9782",
publisher = "Wiley-Blackwell",

}

RIS

TY - JOUR

T1 - Decoupling Interday and Intraday Volatility Dynamics with Price Durations

AU - Li, Yifan

AU - Nolte, Ingmar

AU - Nolte, Sandra

AU - Yu, Shifan

PY - 2025/5/5

Y1 - 2025/5/5

M3 - Journal article

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

SN - 0143-9782

ER -