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Intraday Seasonality in EUR/SEK Returns

Johansson, Albin LU and Kull Tinnerholm, Johan LU (2020) NEKN02 20201
Department of Economics
Abstract
In this thesis the intraday seasonality in the EUR/SEK spot returns are investigated after the returns have been filtered from intraday volatility. This is done with five-minute returns from year 2007 to 2019. The returns are filtered using the Flexible Fourier Form regression and then intraday seasonality is tested using an ARMAX-GARCH model. The results reveal no significant intraday seasonality in the EUR/SEK spot return and therefore we can conclude that no seasonality exist in the filtered returns.
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author
Johansson, Albin LU and Kull Tinnerholm, Johan LU
supervisor
organization
course
NEKN02 20201
year
type
H1 - Master's Degree (One Year)
subject
keywords
Seasonality, intraday returns, intraday volatility, foreign exchange, Flexible Fourier Form
language
English
id
9013814
date added to LUP
2020-08-29 11:18:08
date last changed
2020-08-29 11:18:08
@misc{9013814,
  abstract     = {{In this thesis the intraday seasonality in the EUR/SEK spot returns are investigated after the returns have been filtered from intraday volatility. This is done with five-minute returns from year 2007 to 2019. The returns are filtered using the Flexible Fourier Form regression and then intraday seasonality is tested using an ARMAX-GARCH model. The results reveal no significant intraday seasonality in the EUR/SEK spot return and therefore we can conclude that no seasonality exist in the filtered returns.}},
  author       = {{Johansson, Albin and Kull Tinnerholm, Johan}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Intraday Seasonality in EUR/SEK Returns}},
  year         = {{2020}},
}