Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality

被引：4

作者：

Vatter, Thibault ^{[1
]}

Wu, Hau-Tieng ^{[2
]}

Chavez-Demoulin, Valerie ^{[1
]}

Yu, Bin ^{[3
]}

机构：

[1] Univ Lausanne, Fac Business & Econ HEC, CH-1015 Lausanne, Switzerland

[2] Univ Toronto, Dept Math, Toronto, ON M5S 2E4, Canada

[3] Univ Calif Berkeley, Dept Stat, Berkeley, CA 94720 USA

来源：

ECONOMETRICS | 2015年 / 3卷 / 04期

关键词：

intraday spot volatility; seasonality; foreign exchange returns; time-frequency analysis; synchrosqueezing;

D O I：

10.3390/econometrics3040864

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically time-varying and evolve in real time. We provide the associated estimators and use simulations to show that they behave adequately in the presence of jumps and heteroskedastic and heavy-tailed noise. A study of exchange rate returns sampled from 2010 to 2013 suggests that failing to factor in the seasonality's dynamic properties may lead to misestimation of the intraday spot volatility.

引用

页码：864 / 887

页数：24

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