Business time sampling scheme and its applications to semi-martingale hypothesis and estimating integrated volatility
Business Time Sampling Scheme, Time Transformation, Integrated Volatility, Autoregressive Conditional Duration Model, High-Frequency Data
Dong, Yingjie and Tse, Yiu Kuen.
Business time sampling scheme and its applications to semi-martingale hypothesis and estimating integrated volatility. (2014). Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/1738
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