Causality effects in return volatility measures with random times (Q737283): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asset pricing for general processes / 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: 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: Q4495098 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Closing the GARCH gap: Continuous time GARCH modeling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Equivalence of floating and fixed strike Asian and lookback options / 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: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Noncausality in Continuous Time / rank
 
Normal rank
Property / cites work
 
Property / cites work: GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling the interdependence of volatility and inter-transaction duration processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regression with Nonstationary Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Temporal aggregation of volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: GARCH and irregularly spaced data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Causality in temporal systems. Characterizations and a Survey / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Tale of Two Time Scales / rank
 
Normal rank

Revision as of 09:05, 12 July 2024

scientific article
Language Label Description Also known as
English
Causality effects in return volatility measures with random times
scientific article

    Statements

    Causality effects in return volatility measures with random times (English)
    0 references
    0 references
    0 references
    10 August 2016
    0 references
    continuous time models
    0 references
    Granger causality
    0 references
    instantaneous causality
    0 references
    durations
    0 references
    ultra-high frequency data
    0 references
    volatility per trade
    0 references

    Identifiers