Intraday jumps and trading volume : a nonlinear Tobit specification
Year of publication: |
November 2016
|
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Authors: | Jawadi, Fredj ; Louhichi, Waël ; Cheffou, Abdoulkarim Idi ; Randrianarivony, Rivo |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 47.2016, 4, p. 1167-1186
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Subject: | Intraday data | Realized volatility | Jumps | Trading volume | Nonlinearity | Volatilität | Volatility | Handelsvolumen der Börse | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation | ARCH-Modell | ARCH model | Theorie | Theory | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
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