Dynamic discrete mixtures for high-frequency prices
Leopoldo Catania, Roberto Di Mari, and Paolo Santucci de Magistris
| Year of publication: |
2022
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|---|---|
| Authors: | Catania, Leopoldo ; Di Mari, Roberto ; Santucci de Magistris, Paolo |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 2, p. 559-577
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| Subject: | Dynamic mixtures | EM Algorithm | High-frequency prices | Skellam distribution | Volatility | Zeros | Volatilität | Theorie | Theory | Börsenkurs | Share price | Algorithmus | Algorithm | Elektronisches Handelssystem | Electronic trading | ARCH-Modell | ARCH model |
| Description of contents: | Description [tandfonline.com] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2020.1840994 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013533453