Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (Q134805): Difference between revisions
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| Property / author | |||
| Property / author: Donggyu Kim / rank | |||
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| Property / author: Yazhen Wang / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F12 / rank | |||
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| Property / zbMATH DE Number: 6623653 / rank | |||
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| Property / zbMATH Keywords | |||
GARCH | |||
| Property / zbMATH Keywords: GARCH / rank | |||
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Itô process | |||
| Property / zbMATH Keywords: Itô process / rank | |||
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quasi-maximum likelihood estimator | |||
| Property / zbMATH Keywords: quasi-maximum likelihood estimator / rank | |||
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realized volatility | |||
| Property / zbMATH Keywords: realized volatility / rank | |||
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stochastic differential equation | |||
| Property / zbMATH Keywords: stochastic differential equation / rank | |||
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Revision as of 23:28, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data |
scientific article |
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194
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2
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220-230
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October 2016
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6 September 2016
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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (English)
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GARCH
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Itô process
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quasi-maximum likelihood estimator
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realized volatility
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stochastic differential equation
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