Time-Varying Periodicity in Intraday Volatility

DOI10.1080/01621459.2018.1512864zbMath1428.62463OpenAlexW2784931388MaRDI QIDQ5208074

Torben G. Andersen, Martin Thyrsgaard, Viktor Todorov

Publication date: 15 January 2020

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/192079536/Andersen2018_Time_varying_periodicity_in_intraday_volatility_AM.pdf

zbMATH Keywords

periodicitystochastic volatilityhigh-frequency datasemimartingalespecification test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (12)

Asymptotic properties of correlation-based principal component analysis ⋮ Volatility models for stylized facts of high‐frequency financial data ⋮ Overnight GARCH-Itô Volatility Models ⋮ The effect of intraday periodicity on realized volatility measures ⋮ Volatility analysis with realized GARCH-Itô models ⋮ Estimation for high-frequency data under parametric market microstructure noise ⋮ Cointegration in high frequency data ⋮ Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency ⋮ Inference on common intraday periodicity at high frequencies ⋮ Distribution-free specification test for volatility function based on high-frequency data with microstructure noise ⋮ The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing ⋮ Inference on volatility curve at high frequencies via functional data analysis

Uses Software

• IndependenceTests

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