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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

Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix

Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 195 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012509995

The exchange rate system reform in China : US pressure, implicit gradual appreciation and explicit exchange rate bands

Yip, Paul S. L.; Tse, Yiu Kuen; Dong, Yingjie - 2017

Persistent link: https://www.econbiz.de/10011809560

On estimating market microstructure noise variance

Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 150 (2017), pp. 59-62

Persistent link: https://www.econbiz.de/10011762850

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