The influence of intraday seasonality on volatility transmission pattern

被引：3

作者：

Alemany, N. ^{[1
]}

Arago, V. ^{[1
]}

Salvador, E. ^{[1
]}

机构：

[1] Univ Jaume 1, Dept Accounting & Finance, Ave Sos Baynat S-N, Castellon De La Plana, Castellon, Spain

来源：

QUANTITATIVE FINANCE | 2019年 / 19卷 / 07期

关键词：

High-frequency data; Intraday periodic component; Fourier flexible form; Realized volatility; Volatility spillover; Microstructure noise; STOCK INDEX; FUTURES; FREQUENCY; RETURN; SPILLOVERS; SPOT; COVARIANCE; MARKETS; PRICES; MODELS;

D O I：

10.1080/14697688.2018.1563304

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences in the impulse response analysis and in the dynamic and directional measurement of volatility spillovers are encountered depending on whether the intraday periodic component is considered. Thus, the convenience of removing intraday seasonality seems to be critical to reduce the risk of spurious causality when employing high-frequency data in volatility transmission. Moreover, the impact of market microstructure noise seems negligible when using an optimal frequency of observations.

引用

页码：1179 / 1197

页数：19

共 60 条

[1] RETURN AND VOLATILITY DYNAMICS IN THE FT-SE-100 STOCK INDEX AND STOCK INDEX FUTURES MARKETS [J].