文章基本信息

标题：Long Seasonal Cycle Modeling: the Case of Realized Volatility
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作者：Jiří Procházka ; Milan Bašta ; Samuel Flimmel 等
期刊名称：Statistika : Statistics and Economy Journal
印刷版ISSN：0322-788X
电子版ISSN：1804-8765
出版年度：2018
卷号：98
期号：1
页码：37-52
语种：English
出版社：Czech Statistical Office
摘要：Time series with long seasonal periods are very common. Several methods have been proposed for modeling of long seasonal cycles, the most commonly used ones being those based on basis expansion. In this paper, we present and discuss these methods. We also use them to model seasonality in realized volatility of several major stock market indices and find evidence for the existence of yearly as well as weekly seasonality. The presented approaches can potentially be used for modeling of any seasonal time series with a long seasonal period.