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Modeling dynamic diurnal patterns in high frequency financial data

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  • Ito, Ryoko
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    Abstract

    A spline-DCS model is developed to forecast the conditional distribution of high-frequency financial data with periodic behavior. The dynamic cubic spline of Harvey and Koopman (1993) is applied to allow diurnal patterns to evolve stochastically over time. An empirical application illustrates the practicality and impressive predictive performance of the model.

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    File URL: http://www.econ.cam.ac.uk/research/repec/cam/pdf/cwpe1315.pdf
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    Bibliographic Info

    Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 1315.

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    Date of creation: 04 Jun 2013
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    Handle: RePEc:cam:camdae:1315

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    Web page: http://www.econ.cam.ac.uk/index.htm

    Related research

    Keywords: outlier; robustness; score; calendar effect; spline; trade volume.;

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    14. Creal, Drew & Koopman, Siem Jan & Lucas, André, 2011. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 552-563.
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