The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity (Q3552628)
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scientific article; zbMATH DE number 5697266
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| English | The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity |
scientific article; zbMATH DE number 5697266 |
Statements
The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity (English)
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22 April 2010
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generalized hyperbolic distribution
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normal inverse Gaussian distribution
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number of trades
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stochastic volatility
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trading intensity
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Barndorff-Nielsen model
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Shephard model
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0.8574166
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0.85479784
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0.8282439
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0.82437414
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0.81366324
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0.8135476
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