Modeling dependency of volatility on sampling frequency via delay equations
Chuong Luong and Nikolai Dokuchaev
| Year of publication: |
June 2016
|
|---|---|
| Authors: | Luong, Chuong ; Dokučaev, Nikolaj G. |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 11.2016, 2, p. 1-12
|
| Subject: | Volatility | multiple time-scales | sampling frequency | delay equations | stock price models | Volatilität | Theorie | Theory | Stichprobenerhebung | Sampling | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S201049521650007X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011685676