An unbiased autoregressive conditional intraday seasonal variance filtering process
From MaRDI portal
Publication:2893207
DOI10.1080/14697688.2010.531281zbMath1241.91138MaRDI QIDQ2893207
Jang Hyung Cho, Robert T. Daigler
Publication date: 26 June 2012
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.531281
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
65C05: Monte Carlo methods
Cites Work
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