Mixed effect models for absolute log returns of ultra high frequency data

DOI10.1002/asmb.614zbMath1112.62107OpenAlexW1976952980WikidataQ59278121 ScholiaQ59278121MaRDI QIDQ3439758

Claudia Czado, Stephan Haug

Publication date: 29 May 2007

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://mediatum.ub.tum.de/doc/1071618/document.pdf

zbMATH Keywords

Kalman filterCARMAmixed effect modelsultra high frequency

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Econometric modelling of stock market intraday activity.
• Lévy Processes and Stochastic Calculus
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