Functional modelling of volatility in the Swedish limit order book

DOI10.1016/j.csda.2008.01.008zbMath1453.62085MaRDI QIDQ961406

Suad Elezović

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.01.008

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

A FUNCTIONAL VERSION OF THE ARCH MODEL

Uses Software

• R
• fda (R)

Cites Work

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• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics