Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco - In: Econometric Reviews 28 (2009) 1-3, pp. 60-82
A distinguishing feature of the intraday time-varying volatility of financial time series is given by the presence of long-range dependence of periodic type, due mainly to time-of-the-day phenomena. In this work, we introduce a model able to describe the empirical evidence given by this periodic...