Recently, various approximate design problems for low-degree trigonometric regression models on a partial circle have been solved. In this paper we consider approximate and exact optimal design problems for first-order trigonometric regression models without intercept on a partial circle. We...

We focus on estimating daily integrated volatility ( IV ) by realized measures based on intraday returns following a discrete-time stochastic model with a pronounced intraday periodicity (IP). We demonstrate that neglecting the IP-impact on realized estimators may lead to invalid statistical...