Essays on High-Frequency Financial Data Analysis

Essays on High-Frequency Financial Data Analysis

This dissertation consists of three essays on high-frequency financial data analysis. I consider intraday periodicity adjustment and its effect on intraday volatility estimation, the Business Time Sampling (BTS) scheme and the estimation of market microstructure noise using NYSE tick-by-tick transac...

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Bibliographic Details
Main Author: DONG, Yingjie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
high-frequency data
integrated volatility
time transformation function
noise-to-signal ratio
Economics
Finance
Online Access:https://ink.library.smu.edu.sg/etd_coll/115
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1119&context=etd_coll
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/etd_coll/115
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1119&context=etd_coll

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