Inference on Common Intraday Periodicity at High Frequencies With Jumps

ABSTRACT In this paper, we investigate the presence of common intraday periodicity of assets and model the commonalities using functional data analysis when the price processes contain jumps. We implement the information criterion to select the number of common intraday periodic factors, and model the volatility part using nonparametric threshold method. Consistency of the estimated number of factors and uniform convergence of the spot volatility curve are established. Simulation and real data analysis justify that our estimation is accurate and can provide better forecasts of the spot volatility curve.