Title

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

Publication Type

Working Paper

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

Creative Commons License

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

Comments

under revision

This document is currently not available here.

Share

COinS