Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation

Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation

We study two methods of adjusting for intraday periodicity of high-frequency financial data: the well-known Duration Adjustment (DA) method and the recently proposed Time Transformation (TT) method (Wu (2012)). We examine the effects of these adjustments on the estimation of intraday volatility usin...

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Bibliographic Details
Main Authors: TSE, Yiu Kuen, DONG, Yingjie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Autoregressive conditional duration model
Intraday volatility
Time transformation
Transaction data
Econometrics
Economics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/1572
https://ink.library.smu.edu.sg/context/soe_research/article/2571/viewcontent/Intraday_periodicity_adjustments_2012_pp.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1572
https://ink.library.smu.edu.sg/context/soe_research/article/2571/viewcontent/Intraday_periodicity_adjustments_2012_pp.pdf

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