The race against time
Professor Tse Yiu Kuen is developing econometric models that can provide us with a clearer picture of global markets. See the papers: Estimation of high-frequency volatility: An autoregressive conditional duration approach Intraday periodicity adjustments of transaction duration and their effects...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2017
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| Online Access: | https://ink.library.smu.edu.sg/smu_research/14 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1022&context=smu_research |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | Professor Tse Yiu Kuen is developing econometric models that can provide us with a clearer picture of global markets.
See the papers: Estimation of high-frequency volatility: An autoregressive conditional duration approach Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation; Intraday value-at-risk: An asymmetric autoregressive conditional duration approach |
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