Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach
| Year of publication: |
2012-04
|
|---|---|
| Authors: | Tse, Yiu-Kuen ; Yang, Thomas Tao |
| Institutions: | School of Economics, Singapore Management University |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | Published in SMU-SKBI CoFie Working Paper Number CoFie-02-2012 38 pages longPages |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010862041