Hello all,
First, happy new year everyone !
I'm trying to fit *intraday* returns on R through linear regression and
experiencing model Heteroskedasticity and residuals autocorrelation..
Does anyone have good articles / research papers / websites that deal with
such issues ?
I would be interested in techniques for 'cleaning' the time series of the
noise / dealing with time series of non constant variance (non stationary).

I'm also interested if anyone suggests other statistical methods (apart from
linear regression..) that can be applied to such a problem.

Thank you !

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