the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper … is two-fold. First, we model the intraday seasonality of return volatility as a Bernstein polynomial and estimate it …Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and …

It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks … method to estimate this intraday seasonality simultaneously. To efficiently generate the Monte Carlo sample, we used a hybrid … capturing this intraday seasonality, this paper also considers limit order book information. Three-day tick data for three …

estimation procedures. Our key interest is the extraction of intra-day volatility patterns from high-frequency integer price …We investigate high-frequency volatility models for analyzing intra-day tick by tick stock price changes using Bayesian … distributions. We allow for stochastic volatility by modeling the variance as a stochastic function of time, with intra-day periodic …