Functional modelling of volatility in the Swedish limit order book
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Cites work
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- scientific article; zbMATH DE number 1987697 (Why is no real title available?)
- An analysis of price impact function in order-driven markets
- Depth-based inference for functional data
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Functional data analysis
- Modeling and Forecasting Realized Volatility
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Nonparametric functional data analysis. Theory and practice.
- Statistics for functional data
- The impact of general non-parametric volatility functions in multivariate GARCH models
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