Intraday periodicity and volatility persistence in financial markets
Torben G Anderson and Tim Bollerslev

Abstract
The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possible to uncover the complex intraday volatility dynamics that exists both within and across different financial markets. The explicit periodic modeling procedure developed here provides such a framework.

For more information about this article and other related articles click here.

You may need to register to obtain the full article.

Back to list