Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns
指出传统方差比检验在高频数据中不稳健，提出基于傅里叶柔性形式的改进推断方法，并用东京外汇市场交易限制取消后的日内波动模式变化验证，发现除午休时段外无显著变化。
ABSTRACT Variance‐ratio tests are routinely employed to assess the variation in return volatility over time and across markets. However, such tests are not statistically robust and can be seriously misleading within a high‐frequency context. We develop improved inference procedures using a Fourier Flexible Form regression framework. The practical significance is illustrated through tests for changes in the FX intraday volatility pattern following the removal of trading restrictions in Tokyo. Contrary to earlier evidence, we find nodiscernible changes outside of the Tokyo lunch period. We ascribe the difference to the fragile finite‐sample inference of conventional variance‐ratio procedures and a single outlier.