Field, Jonathan; Large, Jeremy - 2008
at evenly spaced times, we prefer
to sample in business time, see Oomen (2006) and Hansen and Lunde (2006). This
controls … for intraday seasonal and other uctuations in market activity and volatility.
To proxy for the passing of business time … quotes.
Inside depths were observed at the start of each duration. On the assumption that
once sampled in business time the …