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econ.EM2021
Multiplicative Component GARCH Model of Intraday Volatility
Xiufeng Yan
This paper proposes a multiplicative component intraday volatility model. The intraday conditional volatility is expressed as the product of intraday periodic component, intraday s…
econ.EM2021
Autoregressive conditional duration modelling of high frequency data
Xiufeng Yan
This paper explores the duration dynamics modelling under the Autoregressive Conditional Durations (ACD) framework (Engle and Russell 1998). I test different distributions assumpti…