182
Views
1
CrossRef citations to date
0
Altmetric
Research Papers

An unbiased autoregressive conditional intraday seasonal variance filtering process

&
Pages 231-247 | Received 11 Sep 2009, Accepted 08 Oct 2010, Published online: 22 Mar 2011

References

  • Admati , A and Pfleiderer , P . 1988 . A theory of intraday patterns: Volume and price variability . Rev. Financial Stud. , 1 : 3 – 40 .
  • Andersen , T and Bollerslev , T . 1997a . Intraday periodicity and volatility persistence in financial markets . J. Empir. Finance , 4 : 115 – 158 .
  • Andersen , T and Bollerslev , T . 1997b . Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns . J. Finance , 52 : 975 – 1005 .
  • Andersen , T , Bollerslev , T , Diebold , F and Ebens , H . 2001 . The distribution of realized stock return volatility . J. Financial Econ. , 61 : 43 – 76 .
  • Andersen , T , Bollerslev , T , Diebold , F and Labys , P . 2003 . Modeling and forecasting realized volatility . Econometrica , 71 : 579 – 625 .
  • Bell , W and Hillmer , S . 1984 . Issues involved with the seasonal adjustment of economic time series . J. Business Econ. Statist. , 2 : 291 – 320 .
  • Beltratti , A and Morana , C . 2001 . Deterministic and stochastic methods for estimation of intra-day seasonal components with high frequency data . Econ. Notes , 30 : 205 – 234 .
  • Bollerslev , T . 1986 . Generalized autoregressive conditional heteroskedasticity . J. Econometr. , 31 : 307 – 327 .
  • Bollerslev , T and Ghysels , E . 1996 . Periodic autoregressive conditional heteroskedasticity . J. Business Econ. Statist. , 14 : 139 – 151 .
  • Brock , W and Kleidon , A . 1992 . Periodic market closure and trading volume: A model of intraday bids and asks . J. Econ. Dynam. Control , 16 : 451 – 489 .
  • Dacorogna , M , Müller , U , Nagler , R , Olsen , R and Pictet , O . 1993 . A geographical model for the daily and weekly seasonal volatility in the foreign exchange market . J. Int. Money Finance , 12 : 413 – 438 .
  • Daigler , R . 1997 . Intraday futures volatility and theories of market behavior . J. Fut. Mkts , 17 : 45 – 74 .
  • Engle , R . 1982 . Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1007 .
  • Engle , R . 2002 . Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models . J. Business Econ. Statist. , 20 : 339 – 350 .
  • Engle, R. and Gallo, G., A multiple indicators model for volatility using intra-daily data. Working Paper, NYU, 2003.
  • Engle, R. and Sheppard, K., Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. Working Paper, UCSD, 2001.
  • Engle, R., Sokalska, M. and Chanda, A., Forecasting intraday volatility in the US equity market – multiplicative component GARCH. Working Paper, UCSD, 2006.
  • Fuller , W . 1995 . Introduction to Statistical Time Series, , 2nd , New York : Wiley .
  • Gençay , R , Selçuk , F and Whitcher , B . 2001 . Differentiating intraday seasonalities through wavelet multi-scaling . Physica A , 289 : 543 – 556 .
  • Gençay , R , Selçuk , F and Whitcher , B . 2002 . An Introduction to Wavelets and Other Filtering Methods in Finance and Economics , San Diego , CA : Academic Press .
  • Granger, C., Seasonality: Causation, interpretation and implications, in The NBER/Census Conference on Seasonal Analysis of Economic Time Series, Washington, DC, 1976.
  • Greene , W . 2000 . Econometric Analysis, , 4th , Englewood Cliffs , NJ : Prentice Hall .
  • Grether , DM and Nerlove , M . 1970 . Some properties of optimal seasonal adjustment . Econometrica , : 682 – 703 .
  • Grossman , S . 1976 . On the efficiency of competitive stock markets where trades have diverse information . J. Finance , 18 : 81 – 101 .
  • Harvey , A , Ruiz , E and Shephard , N . 1994 . Multivariate stochastic variance models . Rev. Econ. Stud. , 61 : 247 – 264 .
  • Hughes , MP and Winters , DB . 2005 . What is the source of different levels of time-series return volatility? The intraday U-shaped pattern or time-series persistence . J. Econ. Finance , 29 : 300 – 312 .
  • Hughes , MP , Smith , SD and Winters , DB . 2008 . The effect of auctions on daily treasury-bill volatility . Q. Rev. Econ. Finance , 48 : 48 – 60 .
  • Hylleberg , S . 1986 . Seasonality in Regression , San Diego , CA : Academic Press .
  • Jensen , A and Cour-Harbo , A . 2001 . Ripples in Mathematics – The Discrete Wavelet Transform , Berlin : Springer .
  • Jones , R and Brelsford , W . 1967 . Time series with periodic structure . Biometrika , 54 : 403 – 408 .
  • Kyle , A . 1985 . Continuous auctions and insider trading . Econometrica , 53 : 1315 – 1335 .
  • Lockwood , L and Linn , S . 1990 . An examination of stock market return volatility during overnight and intraday periods 1964–1989 . J. Finance , 45 : 591 – 601 .
  • Lutkepohle , H . 2007 . New Introduction to Multiple Time Series Analysis , Berlin : Springer .
  • Martens , M , Chang , Y-C and Taylor , S . 2002 . A comparison of seasonal adjustment methods when forecasting intraday volatility . J. Financial Res. , 25 : 283 – 299 .
  • Nerlove , M . 1964 . Spectral analysis of seasonal adjustment procedures . Econometrica , 32 : 241 – 286 .
  • Nerlove , M . 1965 . A comparison of a modified Hannan and the BLS seasonal adjustment filters . J. Am. Statist. Assoc. , 60 : 442 – 491 .
  • Omrane , W and Bodt , E . 2007 . Using self-organizing maps to adjust for intra-day seasonality . J. Bank. Finance , 31 : 1817 – 1838 .
  • Pagano , M . 1978 . On periodic and multiple autoregressions . Ann. Statist. , 6 : 1310 – 1317 .
  • Tiao , G and Grupe , M . 1980 . Hidden periodic autoregressive moving-average models in time series data . Biometrika , 67 : 365 – 373 .
  • Vecchia , A . 1985a . Periodic autoregressive-moving average (PARMA) modeling with applications to water resources . Water Resour. Bull. , 21 : 721 – 730 .
  • Vecchia , A . 1985b . Maximum likelihood estimation for periodic autoregressive moving average models . Techonometrics , 27 : 375 – 384 .
  • Wood , R , McInish , T and Ord , K . 1985 . An investigation of transactions data for NYSE . J. Finance , 40 : 723 – 739 .
  • Wooldridge , JM . 1994 . “ Estimation and inference for dependent processes ” . In Handbook of Econometrics 4 , Edited by: Engle , RF and McFadden , DL . 2639 – 2738 . Amsterdam : North-Holland .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.