How fast does the clock of finance run? : a time-definition enforcing stationarity and quantifying overnight duration
Year of publication: |
2021
|
---|---|
Authors: | Caraglio, Michele ; Baldovin, Fulvio ; Stella, Attilio L. |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 8, Art.-No. 384, p. 1-15
|
Subject: | cyclostationary | financial time | nonstationary time series | scale invariance | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14080384 [DOI] hdl:10419/258488 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Caraglio, Michele, (2021)
-
Chen, Zi-yu, (2022)
-
Classical and Bayesian analysis of unvariate and multivariate stochastic volatility models
Liesenfeld, Roman, (2006)
- More ...
-
Caraglio, Michele, (2021)
-
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio, (2015)
-
Aftershock prediction for high-frequency financial markets' dynamics
Baldovin, Fulvio, (2013)
- More ...