Time-deformation modeling of stock returns directed by duration processes
Year of publication: |
2015
|
---|---|
Authors: | Feng, Dingan ; Song, Peter X.-K. ; Wirjanto, Tony S. |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 34.2015, 1/5, p. 480-511
|
Subject: | Duration process | Ergodicity | Method of simulated moments | Return process | Stationarity | Theorie | Theory | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Dauer | Duration | Statistische Bestandsanalyse | Duration analysis | Simulation |
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