Econometrics of financial high-frequency data (Q3089394)
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scientific article; zbMATH DE number 5942730
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| English | Econometrics of financial high-frequency data |
scientific article; zbMATH DE number 5942730 |
Statements
25 August 2011
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point process
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financial
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high-frequency data
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financial duration
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multiplicative error models
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autoregressive conditional duration models
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intensity models
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volatility
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liquidity
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0.877963125705719
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0.8476809859275818
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0.8168011903762817
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0.8059930205345154
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0.7939770817756653
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