Inference on common intraday periodicity at high frequencies

DOI10.1016/J.SPL.2022.109646OpenAlexW4292166940MaRDI QIDQ2081769

Xin-Bing Kong, Fan Wu, Guan Jun Wang

Publication date: 30 September 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109646

zbMATH Keywords

spot volatilitycommon periodic factorsintraday periodicity

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Quasi-maximum likelihood estimation of volatility with high frequency data
• Microstructure noise in the continuous case: the pre-averaging approach
• Consistent variable selection in large panels when factors are observable
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Time-Varying Periodicity in Intraday Volatility
• On the number of common factors with high-frequency data
• Determining the Number of Factors in Approximate Factor Models
• A Tale of Two Time Scales

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