A Pure-Jump Transaction-Level Price Model Yielding Cointegration
From MaRDI portal
Publication:3063005
DOI10.1198/jbes.2009.07116zbMath1202.91348OpenAlexW2039090885MaRDI QIDQ3063005
Publication date: 30 December 2010
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jbes.2009.07116
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items
Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility, LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS