Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment

DOI10.1016/J.JECONOM.2018.03.016zbMATH Open1452.62752OpenAlexW3123346806WikidataQ129998863 ScholiaQ129998863MaRDI QIDQ1644249FDOQ1644249

Authors: Kim Christensen, Ulrich Hounyo, Mark Podolskij 

Publication date: 21 June 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.03.016

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zbMATH Keywords

bootstrappingmicrostructure noisehigh-frequency databipower variationpre-averagingtime-varying volatilitydiurnal variation

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Cites Work

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Cited In (20)

• Testing the volatility jumps based on the high frequency data
• Intraday Periodic Volatility Curves
• Inference on volatility curve at high frequencies via functional data analysis
• A WILD BOOTSTRAP FOR DEPENDENT DATA
• Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
• Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
• Time-varying periodicity in intraday volatility
• On the interday homogeneity in the intraday rate of trading
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
• On the estimation of integrated volatility in the presence of jumps and microstructure noise
• Detection of a structural break in intraday volatility pattern
• Disentangling Sources of High Frequency Market Microstructure Noise
• On Bivariate Time-Varying Price Staleness
• Cointegration in high frequency data
• Nonparametric estimation for high-frequency data incorporating trading information
• Inference for calendar effects in microstructure noise
• Statistical inferences for price staleness
• The effect of intraday periodicity on realized volatility measures
• Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
• The local fractional bootstrap

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