Modeling and forecasting persistent financial durations

DOI10.1080/07474938.2014.977057MaRDI QIDQ5864631zbMATH OpenOpenAlexWikidataFDO

Authors Filip Zikes, Jozef Barunik, Nikhil Shenai

Publication date 8 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.3087

zbMATH Keywords

long memorymultifractal modelsprice durationsrealized volatilityWhittle estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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Cited in

(3)

• Review of statistical approaches for modeling high-frequency trading data
• Multifractal characteristics and return predictability in the Chinese stock markets
• Minimum distance estimation of long-memory stochastic duration models

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