Title: Robust estimation of intraweek periodicity in volatility and jump detection
Authors: Boudt, Kris ×
Croux, Christophe
Laurent, S. #
Issue Date: Mar-2011
Publisher: Elsevier
Series Title: Journal of Empirical Finance vol:18 issue:2 pages:353-367
Abstract: Opening, lunch and closing of financial markets induce a periodic component in the volatility of high-frequency returns. We show that price jumps cause a large bias in the classical periodicity estimators and propose robust alternatives. We find that accounting for periodicity greatly improves the accuracy of intraday jump detection methods. It increases the power to detect the relatively small jumps occurring at times for which volatility is periodically low and reduces the number of spurious jump detections at times of periodically high volatility. We use the series of detected jumps to estimate robustly the long memory parameter of the squared EUR/USD, GBP/USD and YEN/USD returns
ISSN: 0927-5398
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
Research Center Finance, Leuven
Faculty of Economics and Business (FEB) - miscellaneous
Department of Financial Management, Campus Carolus Antwerp
× corresponding author
# (joint) last author

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