The influence of intraday seasonality on volatility transmission patterns
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comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
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INVESTIGACIONMetadata
Title
The influence of intraday seasonality on volatility transmission patternsDate
2018Publisher
Taylor & FrancisISSN
1469-7688; 1469-7696Bibliographic citation
ALEMANY, Nuria; ARAGÓ, Vicent; SALVADOR, Enrique. The influence of intraday seasonality on volatility transmission pattern. Quantitative Finance, 2019, p. 1-19Type
info:eu-repo/semantics/articlePublisher version
https://www.tandfonline.com/doi/abs/10.1080/14697688.2018.1563304Version
info:eu-repo/semantics/acceptedVersionSubject
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 ... [+]
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. [-]
Is part of
Quantitative Finance, 2019, p. 1-19Investigation project
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.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"
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info:eu-repo/semantics/openAccess
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