Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility
We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT fun...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2130 https://ink.library.smu.edu.sg/context/soe_research/article/3130/viewcontent/econometrics_05_00051.pdf |
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| Institution: | Singapore Management University |
| Language: | English |