On the intraday periodicity duration adjustment of high-frequency data
In the last decade, intensive studies on modeling high frequency financial data at the transaction level have been conducted. In the analysis of high-frequency duration data, it is often the first step to remove the intraday periodicity. Currently the most popular adjustment procedure is the cubic s...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2012
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1932 https://ink.library.smu.edu.sg/context/soe_research/article/2931/viewcontent/ON_THE_INTRADAY__1_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
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