Publications [#342475] of Hau-Tieng Wu

Papers Published

1. Vatter, T; Wu, HT; Chavez-Demoulin, V; Yu, B, Non-parametric estimation of intraday spot volatility: Disentangling instantaneous trend and seasonality, Econometrics, vol. 3 no. 4 (December, 2015), pp. 864-887 [doi]
   (last updated on 2024/08/30)

   Abstract:
   We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically time-varying and evolve in real time. We provide the associated estimators and use simulations to show that they behave adequately in the presence of jumps and heteroskedastic and heavy-tailed noise. A study of exchange rate returns sampled from 2010 to 2013 suggests that failing to factor in the seasonality’s dynamic properties may lead to misestimation of the intraday spot volatility.