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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2014
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| Subjects: | |
| 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 |