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A random walk, Markov model for the distribution of time series
Litterman, Robert Bruce - 1983
Persistent link: https://www.econbiz.de/10000702700
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Methoden der Datenerschließung und mathematisch-statistischen Aufbereitung in Geographie und Regionalforschung
Schmidt, Gerhard - Institut für Geographie und Geoökologie - 1986
Persistent link: https://www.econbiz.de/10000070966
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Estimation of transition probabilities of n'th order Markov chains from aggregate time series data
Rosenqvist, Gunnar - 1981
Persistent link: https://www.econbiz.de/10003629180
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Einführung in die Statistik der Finanzmärkte
Franke, Jürgen; Härdle, Wolfgang; Hafner, Christian M. - 2001
Persistent link: https://www.econbiz.de/10001599509
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A test for independence based on the correlation dimension
Brock, William A.; Scheinkman, José Alexandre; … - In: Econometric reviews 15 (1996) 3, pp. 197-235
Persistent link: https://www.econbiz.de/10001212116
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Theory and applications of common features
Kozicki, Sharon - 1992
Persistent link: https://www.econbiz.de/10000917655
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A nonparametric test for autoregressive conditional heteroscedasticity : a Markov-chain approach
Gregory, Allan W. - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 1, pp. 107-115
Persistent link: https://www.econbiz.de/10001090231
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A Note on a Statistical Hypothesis Testing for Removing Noise by the Random Matrix Theory, and Its Application to Co-Volatility Matrices
Morimoto, Takayuki - 2010
It is well known that the bias called market microstructure noise will arise, when estimating realized co-volatility matrix which is calculated as a sum of cross products of intraday high-frequency returns. An existing conventional technique for removing such a market microstructure noise is to...
Persistent link: https://www.econbiz.de/10013150378
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Einführung in die Statistik der Finanzmärkte
Franke, Jürgen; Härdle, Wolfgang; Hafner, Christian M.; … - 2001
Persistent link: https://www.econbiz.de/10001723367