On the intraday periodicity duration adjustment of high-frequency data

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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http://scholarbank.nus.edu.sg/handle/10635/105275

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