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High-frequency foreign exchange process 1 Intraday seasonalities 1 Multi-scaling 1 Wavelets 1
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Gençay, Ramazan 1 Selçuk, Faruk 1 Whitcher, Brandon 1
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Physica A: Statistical Mechanics and its Applications 1
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Differentiating intraday seasonalities through wavelet multi-scaling
Gençay, Ramazan; Selçuk, Faruk; Whitcher, Brandon - In: Physica A: Statistical Mechanics and its Applications 289 (2001) 3, pp. 543-556
It is well documented that strong intraday seasonalities may induce distortions in the estimation of volatility models. These seasonalities are also the dominant source for the underlying misspecifications of the various volatility models. Therefore, an obvious route is to filter out the...
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