Modeling price clustering in high-frequency prices
Year of publication: |
2022
|
---|---|
Authors: | Holý, Vladimír ; Tomanová, Petra |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 9, p. 1649-1663
|
Subject: | Double Poisson distribution | Generalized autoregressive score model | High-frequency data | Price clustering | Theorie | Theory | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Clusteranalyse | Cluster analysis | Schätzung | Estimation |
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