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The influence of intraday seasonality on volatility transmission patterns
dc.contributor.author | Alemany, Nuria | |
dc.contributor.author | Aragó, Vicent | |
dc.contributor.author | Salvador, Enrique | |
dc.date.accessioned | 2019-04-11T18:04:19Z | |
dc.date.available | 2019-04-11T18:04:19Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | ALEMANY, Nuria; ARAGÓ, Vicent; SALVADOR, Enrique. The influence of intraday seasonality on volatility transmission pattern. Quantitative Finance, 2019, p. 1-19 | ca_CA |
dc.identifier.issn | 1469-7688 | |
dc.identifier.issn | 1469-7696 | |
dc.identifier.uri | http://hdl.handle.net/10234/182307 | |
dc.description.abstract | 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. | ca_CA |
dc.format.extent | 57 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Taylor & Francis | ca_CA |
dc.relation.isPartOf | Quantitative Finance, 2019, p. 1-19 | ca_CA |
dc.rights | “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" | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | * |
dc.subject | high-frequency data | ca_CA |
dc.subject | intraday periodic component | ca_CA |
dc.subject | Fourier Flexible Form | ca_CA |
dc.subject | realized volatility | ca_CA |
dc.subject | volatility spillover | ca_CA |
dc.subject | microstructure noise | ca_CA |
dc.title | The influence of intraday seasonality on volatility transmission patterns | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | https://doi.org/10.1080/14697688.2018.1563304 | |
dc.relation.projectID | 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. | ca_CA |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca_CA |
dc.relation.publisherVersion | https://www.tandfonline.com/doi/abs/10.1080/14697688.2018.1563304 | ca_CA |
dc.date.embargoEndDate | 2020-08-01 | |
dc.type.version | info:eu-repo/semantics/acceptedVersion | ca_CA |
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