Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/172853
Authors: 
Voges, Michelle
Leschinski, Christian
Sibbertsen, Philipp
Year of Publication: 
2017
Series/Report no.: 
Hannover Economic Papers (HEP) 599
Abstract: 
It is well known that intraday volatilities and trading volumes exhibit strong seasonal features. These seasonalities are usually modeled using dummy variables or deterministic functions. Here, we propose a test for seasonal long memory with a known frequency. Using this test, we show that deterministic seasonality is an accurate model for the DJIA index but not for the component stocks. These still exhibit significant and persistent periodicity after seasonal de-meaning so that more evolved seasonal long memory models are required to model their behavior.
Subjects: 
Intraday Volatility
Trading Volume
Seasonality
Long Memory
JEL: 
C12
C22
C58
G12
G15
Document Type: 
Working Paper

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