The UHF-GARCH-type model in the analysis of intraday volatility and price durations : the Bayesian approach
Roman Huptas
| Year of publication: |
2016
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|---|---|
| Authors: | Huptas, Roman |
| Published in: |
Central European journal of economic modelling and econometrics. - Lodz : Polish Academy of Sciences, ISSN 2080-0886, ZDB-ID 2529553-6. - Vol. 8.2016, 1, p. 1-20
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| Subject: | intraday volatility | UHF-GARCH-type model | ACD model | transaction data | Bayesian inference | Volatilität | Volatility | Bayes-Statistik | Börsenkurs | Share price | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011634876