Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation
AbstractWe investigate intradaily seasonal patterns on the distribution of high frequency financial returns. Using quantile regression we show the expansions and shrinks of the probability law through the day for three years of 15 minutes sampled stock returns. Returns are more dispersed and less concentrated around the median at the hours near the opening and closing. We provide intradaily value at risk assessments and we show how it adapts to changes of dispersion over the day.
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Bibliographic InfoPaper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2006077.
Date of creation: 00 Sep 2006
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high frequency returns; quantile regression; Fourier series; intradaily VaR;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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