Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification

Journal Title: Dynamic Econometric Models - Year 2009, Vol 9, Issue 1

Abstract

The aim of this paper is to outline the typical characteristics of the ultra-high-frequency financial data and to present estimation methods of intraday seasonality of trading activity. Ultra-high-frequency financial data (transactions data or tick-by-tick data) is defined to be a full record of transactions and their associated characteristics. We consider two nonparametric estimation methods: cubic splines and a Nadaraya-Watson kernel estimator of regression. Both approaches are compared empirically and applied to financial data of stocks traded at the Warsaw Stock Exchange.

Authors and Affiliations

Roman Huptas

Keywords

Related Articles

Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures

Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk...

Modeling of Dynamic Spatial Processes

The paper is concerned with econometric modeling of the dynamic spatial processes on the example of the GDP per capita in selected European countries. The considerations of the paper are focused on investigations of the...

Application of Panel Data Models to Exchange Rates’ Modeling for Scandinavian and Central and Eastern European Countries

In the paper the purchasing power parity (PPP) theory for 6 states belonging to OECD, namely Denmark, Norway, Sweden, Poland, Czech Republic and Hungary, was examined. In order to do that the IPS panel unit root test was...

Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models

In the paper, we consider the Box-Cox transformation of financial time series in Stochastic Volatility models. Bayesian approach is applied to make inference about the Box-Cox transformation parameter (). Using daily da...

The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes

In the paper we argue that a general formula for the unconditional kurtosis of sign-switching GARCH(p,q,k) processes proposed by Thavaneswaran and Appadoo (2006) does not give correct results. To show that we revised the...

Download PDF file
  • EP ID EP113919
  • DOI -
  • Views 107
  • Downloads 0

How To Cite

Roman Huptas (2009). Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification. Dynamic Econometric Models, 9(1), 129-138. https://europub.co.uk/articles/-A-113919