Modeling dependency of volatility on sampling frequency via delay equations
Year of publication: |
June 2016
|
---|---|
Authors: | Luong, Chuong ; Dokučaev, Nikolaj G. |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 11.2016, 2, p. 1-12
|
Subject: | Volatility | multiple time-scales | sampling frequency | delay equations | stock price models | Theorie | Theory | Volatilität | Börsenkurs | Share price | Stichprobenerhebung | Sampling | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution |
-
Mixed normal conditional heteroskedasticity
Haas, Markus, (2002)
-
Extremal behavior of finite EGARCH processes
Lindner, Alexander M., (2003)
-
The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe, (2020)
- More ...
-
Forecasting of realised volatility with the random forests algorithm
Luong, Chuong, (2018)
-
Analysis of market volatility via a dynamically purified option price process
Luong, Chuong, (2014)
-
Forecasting of realised volatility with the random forests algorithm
Luong, Chuong, (2018)
- More ...