Ch 15 - High frequency data : Diurnality Flashcards
1
Q
What is high frequency data?
A
Measure of asset price movements at very short time intervals (minutes,sconds,etc)
2
Q
What are some ways of testing for diurnality?
A
Include a dummy variable called TIMEt
Polynomial trend models
3
Q
What is one short coming of the dummy variable model?
A
It requires many parameters to be estimated
4
Q
What can you use to formally test whether the volatility model with a seasonal component is better than one that ignores it?
A
MZ test
Diebold Mariano test
