کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
958849 929082 2011 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robust estimation of intraweek periodicity in volatility and jump detection
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Robust estimation of intraweek periodicity in volatility and jump detection
چکیده انگلیسی

Opening, lunch and closing of financial markets induce a periodic component in the volatility of high-frequency returns. We show that price jumps cause a large bias in the classical periodicity estimators and propose robust alternatives. We find that accounting for periodicity greatly improves the accuracy of intraday jump detection methods. It increases the power to detect the relatively small jumps occurring at times for which volatility is periodically low and reduces the number of spurious jump detections at times of periodically high volatility. We use the series of detected jumps to estimate robustly the long memory parameter of the squared EUR/USD, GBP/USD and YEN/USD returns.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 18, Issue 2, March 2011, Pages 353–367
نویسندگان
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