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Using a reduced rank regression framework as well as information criteria we investigate the presence of commonalities in the intraday periodicity, a dominant feature in the return volatility of most intraday financial time series. We find that the test has little size distortion and reasonable power even in the presence of jumps. We also find that only three factors are needed to describe the intraday periodicity of thirty US asset returns sampled at the 5-minute frequency. Interestingly, wedoi:10.1093/jjfinec/nbr012 fatcat:7pq7a26wkjajnpnjau6kkw6s5u