Business time sampling scheme and its applications to semi-martingale hypothesis and estimating integrated volatility

Author

Yingjie Dong
Yiu Kuen Tse, Singapore Management UniversityFollow

Publication Type

Working Paper

Version

publishedVersion

Publication Date

12-2014

Keywords

Business Time Sampling Scheme, Time Transformation, Integrated Volatility, Autoregressive Conditional Duration Model, High-Frequency Data

Discipline

Economics

Research Areas

Macroeconomics

Citation

Dong, Yingjie and Tse, Yiu Kuen. Business time sampling scheme and its applications to semi-martingale hypothesis and estimating integrated volatility. (2014).
Available at: https://ink.library.smu.edu.sg/soe_research/1738

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Comments

under revision