Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework
Year of publication: |
2019
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Authors: | Quoreshi, A. M. M. Shahiduzzaman ; Uddin, Reaz ; Khan, Naushad Mamode |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 12.2019, 2/74, p. 1-13
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Subject: | count data | estimation | finance | high frequency | intraday | time series | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Volatilität | Volatility | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Heteroskedastizität | Heteroscedasticity |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm12020074 [DOI] hdl:10419/238983 [Handle] |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C25 - Discrete Regression and Qualitative Choice Models ; C51 - Model Construction and Estimation ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: | ECONIS - Online Catalogue of the ZBW |
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