Stochastic time change, volatility, and normality of returns : a high-frequency dats analysis with a sample of LSE stocks
Year of publication: |
2008
|
---|---|
Authors: | Borsali, Olfa ; Zenaidi, Amel |
Published in: |
Risk management and value : valuation and asset price. - New Jersey [u.a.] : World Scientific, ISBN 981-277-073-9. - 2008, p. 129-150
|
Subject: | Kapitaleinkommen | Capital income | Handelsvolumen der Börse | Trading volume | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Nichtparametrisches Verfahren | Nonparametric statistics | Volatilität | Volatility | Theorie | Theory |
-
Caporale, Guglielmo Maria, (2006)
-
Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S., (2009)
-
Common price and volatility jumps in noisy high-frequency data
Bibinger, Markus, (2014)
- More ...
-
Capital market integration, currency crises, and exchange rate regimes 1990 - 2002
Clark, Ephraim, (2008)
-
Market valuation of technology stocks before and after the crash
Clark, Ephraim, (2007)
-
Return predictability and the disposition effect : a case of financial institution stocks
Masmoudi, Souhir, (2011)
- More ...