On the modeling of financial time series
Year of publication: |
2015
|
---|---|
Authors: | Kutergin, Aleksey ; Filimonov, Vladimir |
Published in: |
Financial econometrics and empirical market microstructure. - Cham [u.a.] : Springer, ISBN 978-3-319-09945-3. - 2015, p. 131-151
|
Subject: | Circulant Embedding Method | Estimation of parameters | Financial time series | Multifractal Random Walk | Numerical simulations | Stylized facts | Zeitreihenanalyse | Time series analysis | Random Walk | Random walk | Schätztheorie | Estimation theory | Simulation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Finanzmarkt | Financial market | Schätzung | Estimation | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
-
Sattarhoff, Cristina, (2023)
-
Sattarhoff, Cristina, (2021)
-
Time scale and fractionality in financial time series
Sproul, Thomas W., (2016)
- More ...
-
Most efficient homogeneous volatility estimators
Saičev, Aleksandr I., (2009)
-
Homogeneous volatility bridge estimators
Saičev, Aleksandr I., (2009)
-
Quantification of the high level of endogeneity and of structural regime shifts in commodity markets
Filimonov, Vladimir, (2013)
- More ...