Inference on common intraday periodicity at high frequencies

Fan Wu, Guan-jun Wang and Xin-bing Kong

Statistics & Probability Letters, 2022, vol. 191, issue C

Abstract: In this paper, we investigate the presence of common intraday periodicity of assets using functional data analysis. We implement the information criterion to select the number of common intraday periodic factors, and model the volatility part using high-frequency data.

Keywords: Intraday periodicity; Spot volatility; Common periodic factors (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109646

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