most citedZero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros

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q-fin.CP2020

Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data

Vladimír Holý, Petra Tomanová

We investigate the computational issues related to the memory size in the estimation of quadratic covariation, taking into account the specifics of financial ultra-high-frequency d…