A stochastic price duration model for estimating high-frequency volatility
Denis Pelletier and Wei Wei
| Year of publication: |
2024
|
|---|---|
| Authors: | Pelletier, Denis ; Wei, Wei |
| Subject: | high-frequency data | price durations | stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Dauer | Duration | Statistische Bestandsanalyse | Duration analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015338802