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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Quantitative finance"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~person:"Bormetti, Giacomo"
~subject:"Börsenkurs"
~subject:"Factor analysis"
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Quantitative finance
Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of financial econometrics
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A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo
;
Bormetti, Giacomo
;
Bouchaud, …
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
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