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

DOI10.1002/asmb.614zbMath1112.62107WikidataQ59278121 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 filter; CARMA; mixed effect models; ultra high frequency

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B26: Auctions, bargaining, bidding and selling, and other market models