Mixed effect models for absolute log returns of ultra high frequency data
type: Item
instance of: scholarly article
title: Mixed effect models for absolute log returns of ultra high frequency data
zbMATH Open document ID: 1112.62107
author: Stephan Haug
author: Claudia Czado
published in: Applied Stochastic Models in Business and Industry
publication date: 2007-05-29T00:00:00Z
full work available at URL: document.pdf
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 91B26
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5158564
zbMATH Keywords: ultra high frequency
zbMATH Keywords: CARMA
zbMATH Keywords: mixed effect models
zbMATH Keywords: Kalman filter
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W1976952980
Wikidata QID: Q59278121
cites work: Econometric modelling of stock market intraday activity.
cites work: Lévy Processes and Stochastic Calculus
cites work: Q3716094
cites work: Q4869532
cites work: Q4875372
cites work: Time series analysis by state space methods
cites work: Q3999341
cites work: Q3998409
DOI: 10.1002/ASMB.614
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description: scientific article; zbMATH DE number 5158564