SEASONAL INTEGRATION FOR DAILY DATA

Akira Tokihisa and Shigeyuki Hamori

Econometric Reviews, 2001, vol. 20, issue 2, 187-200

Abstract: This paper has two purposes: it introduces the econometric methods used to analyze time series data with general frequency and presents a framework for analyzing economic variables that are measured daily; this special case is then applied to the trading volume of stock markets.

Keywords: Seasonal unit roots; Asymptotic distribution; Stock markets; JEL Classifcation Number: C12; C15; and C22 (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:20:y:2001:i:2:p:187-200

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DOI: 10.1081/ETC-100103822

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