Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models
Year of publication: |
2008-07
|
---|---|
Authors: | Hautsch, Nikolaus ; Jeleskovic, Vahidin |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Multiplicative error models | volatility | liquidity | high-frequency data |
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