A slightly depressing jump model : intraday volatility pattern simulation
Khaldoun Khashanah, Jing Chen and Alan Hawkes
| Year of publication: |
February 2018
|
|---|---|
| Authors: | Khashanah, Khaldoun ; Chen, Jing ; Hawkes, Alan |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 2, p. 213-224
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| Subject: | Hawkes process | Jump detection | Birth-death-immigration | Financial series | Intraday simulation | Volatilität | Volatility | Simulation | ARCH-Modell | ARCH model | Theorie | Theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1403139 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011905864