The influence of intraday seasonality on volatility transmission patterns
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comunitat-uji-handle2:10234/8648
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INVESTIGACIONMetadatos
Título
The influence of intraday seasonality on volatility transmission patternsFecha de publicación
2018Editor
Taylor & FrancisISSN
1469-7688; 1469-7696Cita bibliográfica
ALEMANY, Nuria; ARAGÓ, Vicent; SALVADOR, Enrique. The influence of intraday seasonality on volatility transmission pattern. Quantitative Finance, 2019, p. 1-19Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://www.tandfonline.com/doi/abs/10.1080/14697688.2018.1563304Versión
info:eu-repo/semantics/acceptedVersionPalabras clave / Materias
Resumen
Using data on a five-minute interval basis, this article analyses the effects of intraday
seasonality on volatility transmission between the spot and futures markets of the
CAC40, DAX30 and FTSE100. Remarkable ... [+]
Using data on a five-minute interval basis, this article analyses the effects of intraday
seasonality on volatility transmission between the spot and futures markets of the
CAC40, DAX30 and FTSE100. Remarkable differences in the impulse response
analysis and in the dynamic and directional measurement of volatility spillovers are
encountered depending on whether the intraday periodic component is considered.
Thus, the convenience of removing intraday seasonality seems to be critical to reduce
the risk of spurious causality when employing high-frequency data in volatility
transmission. Moreover, the impact of market microstructure noise seems negligible
when using an optimal frequency of observations. [-]
Publicado en
Quantitative Finance, 2019, p. 1-19Proyecto de investigación
The authors acknowledge the financial support received from Universitat Jaume I of Castellón under the Research Personal Program PREDOC/2014/14 and the project UJIB2017- 14 and the Spanish Ministry of Economy and Enterprise under project ECO2014/55221-P.Derechos de acceso
“This is an Accepted Manuscript of an article published by Taylor & Francis Group in Quantitative Finance on 25/01/2019, available online: https://doi.org/10.1080/14697688.2018.1563304"
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info:eu-repo/semantics/openAccess
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