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 …. Therefore, an obvious route is to filter out the underlying intraday seasonalities from the data. In this paper, we propose a …