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Random aggregation with applications in high-frequency finance
Ruey S. Tsay,
Jin Huei Yeh
Graduate Institute of Human Resource Management
Research output
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Contribution to journal
›
Article
›
peer-review
5
Scopus citations
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Keyphrases
Random Aggregation
100%
High-frequency Financial Data
100%
Log-returns
100%
Non-synchronous Trading
75%
Return Series
75%
Series Analysis
50%
Asset Returns
50%
Covariance
25%
Markov Chain Monte Carlo Methods
25%
Time Series Model
25%
Intraday Data
25%
Market Microstructure
25%
Small Stock
25%
Aggregation Problem
25%
Stationary Time Series
25%
New York Stock Exchange
25%
Economics, Econometrics and Finance
Time Series
100%
Finance
100%
Capital Market Returns
66%
Monte Carlo Simulation
33%
Stock Exchange
33%
Market Microstructure
33%
Markov Chain Monte Carlo
33%