On the intraday periodicity duration adjustment of high-frequency data

Probability: Theory and Examples.

Kathryn Prewitt, Richard Durrett · Journal of the American Statistical Association · 1992 · 3.3K citations

Engineering, Mathematics, Probability Theory +16

Martingale Limit Theory and its Application.

R. M. Loynes, Peter Hall, C. C. Heyde · Journal of the Royal Statistical Society Series A (General) · 1984 · 2.8K citations · Full text

Engineering, Economics, Mathematics +12

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Robert F. Engle, Jeffrey R. Russell · Econometrica · 1998 · 1.9K citations

Business, Economics, Finance +17

PROBABILITY: THEORY AND EXAMPLES

L. C. G. Rogers · Bulletin of the London Mathematical Society · 1992 · 1.5K citations

Natural Sciences, Mathematics, Probability Theory +13

Intraday periodicity and volatility persistence in financial markets

Torben G. Andersen, Tim Bollerslev · Journal of Empirical Finance · 1997 · 1.4K citations

Business, Economics, Finance +16