Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model
Year of publication: |
2007-09
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Authors: | Hautsch, Nikolaus |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Multiplicative error models | common factor | efficient importance sampling | intraday trading process |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2007-052 48 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
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Hautsch, Nikolaus, (2007)
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Hautsch, Nikolaus, (2007)
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Hautsch, Nikolaus, (2007)
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Hautsch, Nikolaus, (2010)
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