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Search: subject:"intrinsic time"
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Volatility
intrinsic time
5
Zeitreihenanalyse
4
foreign exchange market
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high-frequency finance
4
time-series analysis
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Devisenmarkt
3
Expected Shortfall
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Volatilität
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Intrinsic Time
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Intrinsic time
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Dimitriadis, Timo
2
Halbleib, Roxana
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Račev, Svetlozar T.
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Bitcoin volatility and
intrinsic
time
using double-subordinated lévy processes
Shirvani, Abootaleb
;
Mittnik, Stefan
;
Lindquist, …
- In:
Risks : open access journal
12
(
2024
)
5
,
pp. 1-21
-tailed properties of, as well as the
intrinsic
time
driving, bitcoin returns and gives rise to an arbitrage-free option pricing model …
Persistent link: https://www.econbiz.de/10014636539
Saved in:
2
Realized quantiles
Dimitriadis, Timo
;
Halbleib, Roxana
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1346-1361
Persistent link: https://www.econbiz.de/10013539526
Saved in:
3
How informative is high-frequency data for tail risk estimation and forecasting? : an
intrinsic
time
perspectice
Dimitriadis, Timo
;
Halbleib, Roxana
-
2019
intrinsic
time
, which stochastically transforms the clock time in accordance with the markets activity. This is a very general … sampled in
intrinsic
time
. In the empirical exercise, we discuss the statistical and dynamic properties of the resulting daily …
Persistent link: https://www.econbiz.de/10012317619
Saved in:
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