The influence of intraday seasonality on volatility transmission patterns
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INVESTIGACIONMetadades
Títol
The influence of intraday seasonality on volatility transmission patternsData de publicació
2018Editor
Taylor & FrancisISSN
1469-7688; 1469-7696Cita bibliogràfica
ALEMANY, Nuria; ARAGÓ, Vicent; SALVADOR, Enrique. The influence of intraday seasonality on volatility transmission pattern. Quantitative Finance, 2019, p. 1-19Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
https://www.tandfonline.com/doi/abs/10.1080/14697688.2018.1563304Versió
info:eu-repo/semantics/acceptedVersionParaules clau / Matèries
Resum
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. [-]
Publicat a
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.Drets d'accés
“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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