Luca, Giovanni De; Gallo, Giampiero - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 2, pp. 1223-1223
The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of...
