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

Yiu-Kuen Tse Author Email:yktse@smu.edu.sg and Thomas Yang Author Email:tao.yang@bc.edu
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Yiu-Kuen Tse Author Email:yktse@smu.edu.sg: School of Economics, Singapore Management University
Thomas Yang Author Email:tao.yang@bc.edu: Department of Economics, Boston College

Working Papers from Singapore Management University, Sim Kee Boon Institute for Financial Economics

Pages: 38 Pages
Date: 2012-04
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Published in SMU-SKBI CoFie Working Paper

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