Title: A nonparametric test for commonality in intraday high-frequency data
Authors: Kim Christensen - Aarhus University (Denmark) [presenting]
Abstract: A nonparametric test is developed to detect the presence of diurnal variation in the correlation coefficient between asset price processes in intraday high-frequency data. A simulation study shows the test has good size and power properties. An empirical illustration shows the advantage of taking intraday correlation into account.