Ghysels, Eric; Jasiak, Joanna - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4
We develop a class of ARCH models for series sampled at unequal time intervals set by trade orquote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed byDrost and Nijman (1993) and Drost and Werker (1996), and the autoregressive conditional duration...
