On the intraday periodicity duration adjustment of high-frequency data
Zhengxiao Wu
| Year of publication: |
2012
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|---|---|
| Authors: | Wu, Zhengxiao |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 2, p. 282-291
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| Subject: | Autoregressive conditional duration model | High-frequency data | Intraday periodicity | Nonstationary Poisson process | Point process | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Dauer | Duration | Statistische Bestandsanalyse | Duration analysis | Marktmikrostruktur | Market microstructure | Schätzung | Estimation | Mikroökonometrie | Microeconometrics |
| 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/10009615704