On the intraday periodicity duration adjustment of high-frequency data

10.1016/j.jempfin.2011.12.004

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Bibliographic Details
Main Author:	Wu, Z.
Other Authors:	STATISTICS & APPLIED PROBABILITY
Format:	Article
Published:	2014
Subjects:	Autoregressive conditional duration model High-frequency data Intraday periodicity Nonstationary Poisson process Point process
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/105275
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Institution:	National University of Singapore

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spelling	sg-nus-scholar.10635-1052752023-10-26T07:52:07Z On the intraday periodicity duration adjustment of high-frequency data Wu, Z. STATISTICS & APPLIED PROBABILITY Autoregressive conditional duration model High-frequency data Intraday periodicity Nonstationary Poisson process Point process 10.1016/j.jempfin.2011.12.004 Journal of Empirical Finance 19 2 282-291 JEFIE 2014-10-28T05:14:00Z 2014-10-28T05:14:00Z 2012-03 Article Wu, Z. (2012-03). On the intraday periodicity duration adjustment of high-frequency data. Journal of Empirical Finance 19 (2) : 282-291. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jempfin.2011.12.004 09275398 http://scholarbank.nus.edu.sg/handle/10635/105275 000302038200007 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Autoregressive conditional duration model High-frequency data Intraday periodicity Nonstationary Poisson process Point process
spellingShingle	Autoregressive conditional duration model High-frequency data Intraday periodicity Nonstationary Poisson process Point process Wu, Z. On the intraday periodicity duration adjustment of high-frequency data
description	10.1016/j.jempfin.2011.12.004
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY Wu, Z.
format	Article
author	Wu, Z.
author_sort	Wu, Z.
title	On the intraday periodicity duration adjustment of high-frequency data
title_short	On the intraday periodicity duration adjustment of high-frequency data
title_full	On the intraday periodicity duration adjustment of high-frequency data
title_fullStr	On the intraday periodicity duration adjustment of high-frequency data
title_full_unstemmed	On the intraday periodicity duration adjustment of high-frequency data
title_sort	on the intraday periodicity duration adjustment of high-frequency data
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/105275
_version_	1781788023359275008

On the intraday periodicity duration adjustment of high-frequency data

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