Time-deformation modeling of stock returns directed by duration processes
Dingan Feng, Peter X.-K. Song and Tony S. Wirjanto
| Year of publication: |
2015
|
|---|---|
| Authors: | Feng, Dingan ; Song, Peter X.-K. ; Wirjanto, Tony S. |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 34.2015, 1/5, p. 480-511
|
| Subject: | Duration process | Ergodicity | Method of simulated moments | Return process | Stationarity | Kapitaleinkommen | Capital income | Theorie | Theory | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Dauer | Duration | Simulation | CAPM | Statistische Bestandsanalyse | Duration analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011373264