The following pages link to GARCH and irregularly spaced data (Q1929030):
Displaying 8 items.
- Causality effects in return volatility measures with random times (Q737283) (← links)
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations (Q2439048) (← links)
- Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
- The dynamic mixed hitting-time model for multiple transaction prices and times (Q2451776) (← links)
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (Q2654438) (← links)
- REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831) (← links)
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity (Q4638722) (← links)
- On the test of the volatility proxy model (Q5055216) (← links)
