Technological innovation has changed the financial market significantly with increasing application of high-frequency data in research and practice. This study examines performance intraday implied volatility (IV) estimating currency options prices. Options quotations at a different trading time, such as opening period, midday period closing day one-month, two months’ three maturity, are employ...

Compared with low frequency data, high data exhibit distinct empirical properties, including, for instance, essentially discontinuous evolution paths, time-varying intensities, and self-e...