Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds
Houmera Bibi Sabera Nunkoo, Preethee Nunkoo Gonpot and Noor-Ul-Hacq Sookia and T.V. Ramanathan
| Year of publication: |
2022
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|---|---|
| Authors: | Nunkoo, Houmera Bibi Sabera ; Gonpot, Preethee Nunkoo ; Sookia, Noor Ul Hacq ; Ramanathan, T. V. |
| Subject: | Autoregressive conditional duration | Exchange traded funds | Forecasting | High frequency data | Risk measurement | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Indexderivat | Index derivative | Schätzung | Estimation | Finanzmarkt | Financial market | Volatilität | Volatility | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Autokorrelation | Autocorrelation | Theorie | Theory | Prognoseverfahren | Forecasting model | 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: | 10.1108/SEF-04-2021-0146 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012798505