Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation

Laura Coroneo and David Veredas

No 2006077, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We investigate intradaily seasonal patterns on the distribution of high frequency financial returns. Using quantile regression we show the expansions and shrinks of the probability law through the day for three years of 15 minutes sampled stock returns. Returns are more dispersed and less concentrated around the median at the hours near the opening and closing. We provide intradaily value at risk assessments and we show how it adapts to changes of dispersion over the day.

Keywords: high frequency returns; quantile regression; Fourier series; intradaily VaR (search for similar items in EconPapers)
JEL-codes: C14 C22 C53 G10 (search for similar items in EconPapers)
Date: 2006-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://sites.uclouvain.be/core/publications/coredp/coredp2006.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2006077

Access Statistics for this paper

More papers in LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().