Testing intra-daily seasonality using Maximum Entropy Density

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Testing intra-daily seasonality using Maximum Entropy Density

The objective of this paper is to test for intra-daily seasonality using Maximum Entropy Density (MED). Specifically, this paper attempts to investigate seasonal patterns over weekdays and through the hours of a given trading day. The MED estimation is essentially a data driven technique which produ...

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Bibliographic Details
Main Authors:	Chan, F., Singh, Ranjodh
Format:	Conference Paper
Published:	Modelling and Simulation Society of Australia and New Zealand 2013
Subjects:	Time of day effect GARCH Maximum Entropy Weekday effect Moments
Online Access:	http://www.mssanz.org.au/modsim2013/F1/chan2.pdf http://hdl.handle.net/20.500.11937/58564

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