Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
Yiu-Kuen Tse; Yingjie Dong
| Year of publication: |
2014
|
|---|---|
| Authors: | Tse, Yiu Kuen ; Dong, Yingjie |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 28.2014, p. 352-361
|
| Subject: | Autoregressive conditional duration model | Intraday volatility | Time transformation | Transaction data | Volatilität | Volatility | Börsenkurs | Share price | Dauer | Duration | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | ARCH-Modell | ARCH model | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011285621