most citedIntra-day variability of the stock market activity versus stationarity of the financial time series

8 citations · 8 across the 1 of their papers we have counts for

collaborators

1 paper

q-fin.ST2014★ 8 cited

Intra-day variability of the stock market activity versus stationarity of the financial time series

T. Gubiec, M. Wiliński

We describe the impact of the intra-day activity pattern on the autocorrelation function estimator. We obtain an exact formula relating estimators of the autocorrelation functions…