Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
Year of publication: |
2014
|
---|---|
Authors: | Tse, Yiu-Kuen ; Dong, Yingjie |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 28.2014, C, p. 352-361
|
Publisher: |
Elsevier |
Subject: | Autoregressive conditional duration model | Intraday volatility | Time transformation | Transaction data |
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