Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Year of publication: |
2008
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Authors: | Hautsch, Nikolaus |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 32.2008, 12, p. 3978-4015
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Subject: | Faktorenanalyse | Factor analysis | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Handelsvolumen der Börse | Trading volume | Volatilität | Volatility | Theorie | Theory | USA | United States |
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