Dynamic discrete mixtures for high-frequency prices
Year of publication: |
2022
|
---|---|
Authors: | Catania, Leopoldo ; Di Mari, Roberto ; Santucci de Magistris, Paolo |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 2, p. 559-577
|
Subject: | Dynamic mixtures | EM Algorithm | High-frequency prices | Skellam distribution | Volatility | Zeros | Theorie | Theory | Volatilität | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution |
Description of contents: | Description [tandfonline.com] |
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