LAUSR

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Sign Up to like & get
recommendations!
0 Published in 2017 at "Econometrics"

DOI: 10.3390/econometrics5040051

Abstract: 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… read more here.

Keywords: volatility; time sampling; business time; time ... See more keywords