Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
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Publication:1644249
DOI10.1016/j.jeconom.2018.03.016zbMath1452.62752OpenAlexW3123346806MaRDI QIDQ1644249
Ulrich Hounyo, Mark Podolskij, Kim Christensen
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
high-frequency databootstrappingmicrostructure noisebipower variationpre-averagingtime-varying volatilitydiurnal variation
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
Related Items (14)
Volatility of volatility: estimation and tests based on noisy high frequency data with jumps ⋮ A WILD BOOTSTRAP FOR DEPENDENT DATA ⋮ Statistical inferences for price staleness ⋮ Testing the volatility jumps based on the high frequency data ⋮ On Bivariate Time-Varying Price Staleness ⋮ Nonparametric estimation for high-frequency data incorporating trading information ⋮ The effect of intraday periodicity on realized volatility measures ⋮ The local fractional bootstrap ⋮ Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book ⋮ Time-Varying Periodicity in Intraday Volatility ⋮ Cointegration in high frequency data ⋮ Distribution-free specification test for volatility function based on high-frequency data with microstructure noise ⋮ On the estimation of integrated volatility in the presence of jumps and microstructure noise ⋮ Inference on volatility curve at high frequencies via functional data analysis
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