Volatility estimation and forecasts based on price durations
Seok Young Hong, Ingmar Nolte, Stephen J. Taylor, Xiaolu Zhao
| Year of publication: |
2023
|
|---|---|
| Authors: | Hong, Seok Young ; Nolte, Ingmar ; Taylor, Stephen ; Zhao, Xiaolu |
| Subject: | forecasting | high-frequency data | market microstructure noise | price durations | volatility estimation | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Noise Trading | Noise trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbab006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013542852