A mixed frequency stochastic volatility model for intraday stock market returns
Jeremias Bekierman and Bastian Gribisch
| Year of publication: |
2021
|
|---|---|
| Authors: | Bekierman, Jeremias ; Gribisch, Bastian |
| Subject: | intraday stochastic volatility | mixed frequency | overnight returns | leverage | efficient importance sampling | Volatilität | Volatility | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Theorie | Theory | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Stichprobenerhebung | Sampling | Schätzung | Estimation | Aktienmarkt | Stock market |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbz021 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012654963