GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 1999
frameworks for analyzing this dataset. First, using regularly sampled observations, we characterize the intraday volatility of … per trade) on the volatility specifications. Secondly, we deal directly with the irregularly spaced data. We review two … assessed. Moreover, price durations allowan easy computation of intraday volatility and this method compares favorablyto ARCH …