Non-parametric estimation of intraday spot volatility: Disentangling instantaneous trend and seasonality
Publication
, Journal Article
Vatter, T; Wu, HT; Chavez-Demoulin, V; Yu, B
Published in: Econometrics
December 1, 2015
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.
Duke Scholars
Published In
Econometrics
DOI
EISSN
2225-1146
Publication Date
December 1, 2015
Volume
3
Issue
4
Start / End Page
864 / 887
Related Subject Headings
- 1403 Econometrics
Citation
APA
Chicago
ICMJE
MLA
NLM
Vatter, T., Wu, H. T., Chavez-Demoulin, V., & Yu, B. (2015). Non-parametric estimation of intraday spot volatility: Disentangling instantaneous trend and seasonality. Econometrics, 3(4), 864–887. https://doi.org/10.3390/econometrics3040864
Vatter, T., H. T. Wu, V. Chavez-Demoulin, and B. Yu. “Non-parametric estimation of intraday spot volatility: Disentangling instantaneous trend and seasonality.” Econometrics 3, no. 4 (December 1, 2015): 864–87. https://doi.org/10.3390/econometrics3040864.
Vatter T, Wu HT, Chavez-Demoulin V, Yu B. Non-parametric estimation of intraday spot volatility: Disentangling instantaneous trend and seasonality. Econometrics. 2015 Dec 1;3(4):864–87.
Vatter, T., et al. “Non-parametric estimation of intraday spot volatility: Disentangling instantaneous trend and seasonality.” Econometrics, vol. 3, no. 4, Dec. 2015, pp. 864–87. Scopus, doi:10.3390/econometrics3040864.
Vatter T, Wu HT, Chavez-Demoulin V, Yu B. Non-parametric estimation of intraday spot volatility: Disentangling instantaneous trend and seasonality. Econometrics. 2015 Dec 1;3(4):864–887.
Published In
Econometrics
DOI
EISSN
2225-1146
Publication Date
December 1, 2015
Volume
3
Issue
4
Start / End Page
864 / 887
Related Subject Headings
- 1403 Econometrics