Econometric analysis of high frequency data

DOI10.1007/s10182-006-0223-3zbMath1103.62104OpenAlexW4238378911MaRDI QIDQ862781

Helmut Herwartz

Publication date: 24 January 2007

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-006-0223-3

zbMATH Keywords

high frequency datarealized volatilityprice discoveryconditional normality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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