Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality

Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality

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-var...

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Bibliographic Details
Main Authors: Thibault Vatter, Hau-Tieng Wu, Valérie Chavez-Demoulin, Bin Yu
Format: Article
Language:English
Published: MDPI AG 2015-12-01
Series:Econometrics
Subjects:
intraday spot volatility
seasonality
foreign exchange returns
time-frequency analysis
synchrosqueezing
Online Access:http://www.mdpi.com/2225-1146/3/4/864

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