Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171849
Authors: 
Vatter, Thibault
Wu, Hau-Tieng
Chavez-Demoulin, Valérie
Yu, Bin
Year of Publication: 
2015
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 3 [Year:] 2015 [Issue:] 4 [Pages:] 864-887
Abstract: 
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.
Subjects: 
intraday spot volatility
seasonality
foreign exchange returns
time-frequency analysis
synchrosqueezing
JEL: 
C14
C22
C51
C52
C58
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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