Unveiling multiscale spatiotemporal dynamics of volatility in high-frequency financial markets.
This study explores the intricate dynamics of volatility within high-frequency financial markets, focusing on 225 of Chinese listed companies from 2016 to 2023. Utilizing 5-minute high-frequency data, we analyze the realized volatility of individual stocks across six distinct time scales: 5-minute,...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2024-01-01
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| Series: | PLoS ONE |
| Online Access: | https://doi.org/10.1371/journal.pone.0315308 |
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