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Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
Tse, Yiu Kuen; Dong, Yingjie - In: Journal of empirical finance 28 (2014), pp. 352-361
Persistent link: https://www.econbiz.de/10011285621
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Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility
Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19
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
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The UHF-GARCH-type model in the analysis of intraday volatility and price durations : the Bayesian approach
Huptas, Roman - In: Central European journal of economic modelling and … 8 (2016) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011634876
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Hedging credit : equity liquidity matters
Das, Sanjiv R.; Hanouna, Paul - In: Journal of financial intermediation 18 (2009) 1, pp. 112-123
Persistent link: https://www.econbiz.de/10003813188
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A goodness-of-fit test for a class of autoregressive conditional duration models
Perera, Indeewara; Hidalgo, Javier; Silvapulle, Mervyn J. - In: Econometric reviews 35 (2016) 5/7, pp. 1111-1141
Persistent link: https://www.econbiz.de/10011591144
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Bid-ask spread, quoted depths, and unexpected duration between trades
Ruan, Jun Tony; Ma, Tongshu - In: Journal of financial services research : JFSR 51 (2017) 3, pp. 385-436
Persistent link: https://www.econbiz.de/10011777286
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Autoregressive conditional duration models in finance : a survey of the theoretical and empirical literature
Pacurar, Maria - In: Journal of economic surveys 22 (2008) 4, pp. 711-751
Persistent link: https://www.econbiz.de/10003748679
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Evaluating financial time series models for irregulary speced data: a spectral density approach
Duchesne, Pierre; Pacurar, Maria - In: Computers & operations research : and their … 35 (2008) 1, pp. 130-155
Persistent link: https://www.econbiz.de/10003665878
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Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim; Francq, Christian - In: Journal of econometrics 237 (2023) 2,2, pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
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On the intraday periodicity duration adjustment of high-frequency data
Wu, Zhengxiao - In: Journal of empirical finance 19 (2012) 2, pp. 282-291
Persistent link: https://www.econbiz.de/10009615704