Common Intraday Periodicity

Intraday periodicity and volatility persistence in financial markets

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 ...

Intraday periodicity, long memory volatility, and macroeconomic announcement effects on China Treasury bond market

In this paper, we provide a detailed characterization of the volatility in China Treasury bond market using a sample of 5-min excess return from January, 4, 2000 to February, 28, 2002. We use two-step regression procedure and multivariate GARCH model to show that macroeconomic announcements is an important source of the volatility in China Treasury Bond market. Among the various announcements, ...

Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market

In this paper, we provide a detailed characterization of the return volatility in US Treasury bond futures contracts using a sample of 5-min returns from 1994 to 1997. We find that public information in the form of regularly scheduled macroeconomic announcements is an important source of volatility at the intraday level. Among the various announcements, we identify the Humphrey–Hawkins testimon...

Periodicity and Almost-periodicity

Understanding Scintillation of Intraday Variables

Intraday Variability of compact extragalactic radio sources can be interpreted as quenched scintillation due to turbulent density fluctuations of the nearby ionized interstellar medium. We demonstrate that the statistical analysis of IDV time series contains both information about sub-structure of the source on the scale of several 10 μas and about the turbulent state of the ISM. The source str...