Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time

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Authors: Vladimir Petrov, Anton Golub, Richard Olsen

Journal title: Journal of Risk and Financial Management

Journal number: 12/2

Journal publisher: MDPI

Published year: 2019

Published pages: 54

DOI identifier: 10.3390/jrfm12020054

ISSN: 1911-8074