Showing 1 - 10 of 15
Persistent link: https://www.econbiz.de/10011285621
We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...
Persistent link: https://www.econbiz.de/10011781945
Persistent link: https://www.econbiz.de/10014248863
Persistent link: https://www.econbiz.de/10001203355
Persistent link: https://www.econbiz.de/10001131196
Persistent link: https://www.econbiz.de/10001115736
Persistent link: https://www.econbiz.de/10001192928
Persistent link: https://www.econbiz.de/10001143662
Persistent link: https://www.econbiz.de/10001148864
Persistent link: https://www.econbiz.de/10001174918