Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (Q2654438)
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scientific article; zbMATH DE number 5660355
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| English | Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model |
scientific article; zbMATH DE number 5660355 |
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Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (English)
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19 January 2010
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multiplicative error model
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common factor
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efficient importance sampling
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intra-day trading process
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0.86382914
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0.86036205
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0.84590995
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0.8458849
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0.8451232
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