GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
Year of publication: |
2007
|
---|---|
Authors: | Ghysels, Eric ; Jasiak, Joanna |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 2.2007, 4, p. 133-149
|
Publisher: |
Berkeley Electronic Press |
Subject: | tick-by-tick data | subordinated processes | duration models | volatility |
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