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Inference on common intraday periodicity at high frequencies

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  • Wu, Fan
  • Wang, Guan-jun
  • Kong, Xin-bing

Abstract

In this paper, we investigate the presence of common intraday periodicity of assets using functional data analysis. We implement the information criterion to select the number of common intraday periodic factors, and model the volatility part using high-frequency data.

Suggested Citation

  • Wu, Fan & Wang, Guan-jun & Kong, Xin-bing, 2022. "Inference on common intraday periodicity at high frequencies," Statistics & Probability Letters, Elsevier, vol. 191(C).
    • Handle: RePEc:eee:stapro:v:191:y:2022:i:c:s0167715222001717
    DOI: 10.1016/j.spl.2022.109646
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    References listed on IDEAS

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