Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach

DOI10.1080/07350015.2012.707582MaRDI QIDQ6666892zbMATH OpenFDO

Authors Yiu Kuen Tse, Thomas Yang

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2012.707582

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cited in

(3)

• Testing for jumps in a discretely observed price process with endogenous sampling times
• A note on the limit theorems for hitting times of path-dependent functionals of Itô semimartingales
• Decoupling interday and intraday volatility dynamics with price durations

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