Optimal sampling frequency for high frequency data using a finite mixture model

DOI10.1016/J.JKSS.2013.09.003zbMATH Open1306.62216OpenAlexW2041372637MaRDI QIDQ397209FDOQ397209

Hyunhee Choi, Moonsu Kang

Publication date: 11 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2013.09.003

zbMATH Keywords

time seriesmixture modelvolatilityAICcmodified likelihood testoptimal sampling frequency

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Classification and discrimination; cluster analysis (statistical aspects) (62H30) 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) Statistical methods; risk measures (91G70)

Cites Work

• Analysis of Financial Time Series
• Generalized autoregressive conditional heteroscedasticity
• Regression and time series model selection in small samples
• Finite mixture models
• A new look at the statistical model identification
• Title not available (Why is that?)
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Title not available (Why is that?)
• Modified likelihood ratio test in finite mixture models with a structural parameter
• A modified likelihood ratio test for homogeneity in finite mixture models
• Testing for a Finite Mixture Model with Two Components
• Realized Volatility: A Review
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
• Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
• Analysis of Tomato Root Initiation Using a Normal Mixture Distribution
• Title not available (Why is that?)
• Bayesian inference for the proportion of true null hypotheses using minimum Hellinger distance

Cited In (3)

• Stochastic natural frequency of composite conical shells
• Taming impulsive high-frequency data using optimal sampling periods
• High-frequency sampling of a continuous-time ARMA process

Uses Software

• FinTS

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