scientific article; zbMATH DE number 7338946

DOI10.16163/J.CNKI.22-1123/N.2020.03.013MaRDI QIDQ4984477zbMATH OpenFDO

Authors Xiwen Qin, Hongmei Zhou, Xiaogang Dong, Jiajing Guo, Yangyang Feng

Publication date 26 April 2021

Full work available at URL https://doi.org/10.16163/J.CNKI.22-1123/N.2020.03.013

zbMATH Keywords

ensemble empirical mode decomposition methodhigh frequency datavolatility estimation

Mathematics Subject Classification ID

Financial markets (91G15)

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Cited in

(2)

• Parameter estimation via regime switching model for high frequency data
• Taming impulsive high-frequency data using optimal sampling periods

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