Activity Signature Functions for High-Frequency Data外文翻译.pdfVIP

Activity Signature Functions for High-Frequency Data Analysis∗ Viktor Todorov † and George Tauchen ‡ This Draft: July 22, 2008 First Draft: November 2007 Abstract We define a new concept termed the activity signature function, which is constructed from discrete observations of a process evolving continuously in time. Under quite genera