Integer-valued Lévy processes and low latency financial econometrics (Q2873033): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(5 intermediate revisions by 4 users not shown)
Property / author
 
Property / author: Ole Eiler Barndorff-Nielsen / rank
Normal rank
 
Property / author
 
Property / author: Ole Eiler Barndorff-Nielsen / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2069720271 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Distribution of Realized Exchange Rate Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: High-frequency trading in a limit order book / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling microstructure noise with mutually exciting point processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Change of Time and Change of Measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling Financial High Frequency Data Using Point Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized Gamma measures and shot-noise Cox processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing: A simplified approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Random variate generation for exponentially and polynomially tilted stable distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Econometrics of Ultra-high-frequency Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exogeneity / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a Poisson-inverse Gaussian distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Survival models for heterogeneous populations derived from stable distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A discrete analogue of the Laplace distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Frequency Distribution of the Difference between Two Independent Variates following the same Poisson Distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mixed Poisson Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities / rank
 
Normal rank
Property / cites work
 
Property / cites work: A skew Laplace distribution on integers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4913195 / rank
 
Normal rank
Property / cites work
 
Property / cites work: More statistical properties of order books and price impact / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integrated volatility and round-off error / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tempering stable processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Order book approach to price impact / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing with regime switching by trinomial tree method / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling heavy-tailed count data using a generalised Poisson-inverse Gaussian family / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 06:40, 7 July 2024

scientific article
Language Label Description Also known as
English
Integer-valued Lévy processes and low latency financial econometrics
scientific article

    Statements

    Integer-valued Lévy processes and low latency financial econometrics (English)
    0 references
    0 references
    0 references
    17 January 2014
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    futures markets
    0 references
    high-frequency econometrics
    0 references
    low latency data
    0 references
    negative binomial
    0 references
    Skellam distribution
    0 references
    tempered stable
    0 references
    0 references
    0 references
    0 references
    0 references