This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatility of high frequency asset returns into components that may be easily interpreted and estimated. The conditional variance is expressed as a product of daily, diurnal and stochastic intraday...

This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatility of high frequency asset returns into components that may be easily interpreted and estimated. The conditional variance is expressed as a product of daily, diurnal and sto-chastic intraday...

Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson OXFORD UNIVERSITY PRESS ...