Random aggregation with applications in high-frequency finance

DOI10.1002/FOR.1196MaRDI QIDQ3018539zbMATH OpenOpenAlexFDO

Authors Ruey S. Tsay, Jin-Huei Yeh

Publication date 27 July 2011

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.1196

zbMATH Keywords

Markov chain Monte CarloGibbs samplingmarket microstructuremissing valueintraday return

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• An econometric analysis of nonsynchronous trading

Cited in

(3)

• Impacts of time aggregation on beta value and \(R^2\) estimations under additive and multiplicative assumptions: theoretical results and empirical evidence
• A general property for time aggregation
• Three-point approach for estimating integrated volatility and integrated covariance

Describes a project that uses

Uses Software

• FinTS

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