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Mixture Processes for Financial Intradaily Durations

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 …

Persistent link: https://www.econbiz.de/10004966182

An examination of the NASDAQ 100 futures contract using ultra high frequency data

Abid, Fathi; Trabelsi, Lotfi - In: Journal of business and finance 1 (2013) 1, pp. 27-37

Persistent link: https://www.econbiz.de/10010201753

Econometric analysis of financial transaction data : pitfalls and opportunities

Hautsch, Nikolaus; Pohlmeier, Winfried - 2001

other characteristics of transaction prices process such as volatility requires a careful choice of the appropriate …

Persistent link: https://www.econbiz.de/10011544938

Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market

Alva, Kenedy; Romo, Juan; Ruiz, Esther - Departamento de Estadistica, Universidad Carlos III de … - 2009

We propose recent functional data analysis techniques to study the intra-daily volatility. In particular, the … volatility extraction is based on functional principal components and the volatility prediction on functional AR(1) models. The … AR(1) model to predict the volatility along a given day given the information in previous days for the intra …

Persistent link: https://www.econbiz.de/10005190170