Hecq, Alain; Laurent, Sébastien; Palm, Franz C. - In: Journal of Financial Econometrics 10 (2011) 2, pp. 325-353
Using a reduced rank regression framework as well as information criteria, we investigate the presence of commonalities in the intraday periodicity, a dominant feature in the return volatility of most intraday financial time series. We find that the test has little size distortion and reasonable...
