GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model (Q3368216)
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scientific article; zbMATH DE number 5002296
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| English | GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model |
scientific article; zbMATH DE number 5002296 |
Statements
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model (English)
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27 January 2006
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tick-by-tick data
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subordinated processes
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duration models
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volatility
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0.8322933912277222
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0.8265557885169983
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0.8037949800491333
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0.8025524616241455
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0.8001713156700134
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