Modeling financial time series based on a market microstructure model with leverage effect
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Publication:2314707
DOI10.1155/2016/1580941zbMath1464.62422OpenAlexW2274262276WikidataQ59123391 ScholiaQ59123391MaRDI QIDQ2314707
Hui Peng, Yemei Qin, Yanhui Xi
Publication date: 30 July 2019
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2016/1580941
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cites Work
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