On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach.

Seasonal patterns during the day and during the week in the stock exchange markets are idiosyncratic and thus they should be taken into account wh en modelling these data. In this paper we propose a component model for the analysis of financial durations, that can be extended easily to any othe r high frequency nancial variable. The model is semiparametric where the seasonality is computed nonparametrically and the dynamics are specied parametrically.

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Year of publication:	2001
Authors:	Veredas, D. ; Rodriguez-Poo, J. ; Espasa, A.
Subject:	ECONOMIC MODELS \| STOCK MARKET \| SEASONS \| BANKS

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Type of publication:	Book / Working Paper
Notes:	35 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C41 - Duration Analysis ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671558