Model‐based quantification of the volatility of options at transaction level with extended count regression models
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Publication:5430333
DOI10.1002/asmb.634zbMath1145.91043MaRDI QIDQ5430333
Publication date: 16 December 2007
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.634
Markov chain Monte Carlo; Poisson regression; autocorrelation; index options; absolute returns; quotation data
91B84: Economic time series analysis
91B70: Stochastic models in economics
91B82: Statistical methods; economic indices and measures
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