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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2015
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| 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 |