Showing 1 - 10 of 678,159
Persistent link: https://www.econbiz.de/10011317069
Persistent link: https://www.econbiz.de/10009389028
Persistent link: https://www.econbiz.de/10012415225
Persistent link: https://www.econbiz.de/10014437626
Persistent link: https://www.econbiz.de/10012423169
Persistent link: https://www.econbiz.de/10011710842
We present a multiscale analysis of the volatility of intraday prices from high-frequency data. Our multiscale framework includes a fractional Brownian motion and microstructure noise as the building blocks. The proposed noisy fractional Brownian motion model is shown to possess a variety of...
Persistent link: https://www.econbiz.de/10014335913
Persistent link: https://www.econbiz.de/10014384462
Persistent link: https://www.econbiz.de/10010517777
Persistent link: https://www.econbiz.de/10011378814