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~institution:"Department of Economics, Oxford University"
~subject:"NYSE"
~subject:"Predictive likelihood"
~subject:"change of timescale"
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NYSE
Predictive likelihood
change of timescale
transactions data
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Brownian motion
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cointegration
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diagnostics
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econometric methods
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goodness of fit
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integrated process
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multivariate
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multivariate analysis
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Bowsher, Clive
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Noureldin, Diaa
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Shephard, Neil
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Sheppard, Kevin
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Department of Economics, Oxford University
Economics Group, Nuffield College, University of Oxford
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Economics Series Working Papers / Department of Economics, Oxford University
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Multivariate
Rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil
;
Sheppard, Kevin
-
Department of Economics, Oxford University
-
2012
This paper introduces a new class of
multivariate
volatility models which is easy to estimate using covariance …
Persistent link: https://www.econbiz.de/10009650771
Saved in:
2
Modelling Security Market Events in Continuous Time: Intensity Based,
Multivariate
Point Process Model
Bowsher, Clive
-
Department of Economics, Oxford University
-
2004
A continuous time econometric modelling framework for
multivariate
financial market event (or `transactions`) data is …
Persistent link: https://www.econbiz.de/10010604834
Saved in:
3
Modelling Security Market Events in Continuous Time: Intensity based,
Multivariate
Point Process Models
Bowsher, Clive
-
Department of Economics, Oxford University
-
2002
A continuous time econometric modelling framework for
multivariate
market event (or transactions) data is developed in …
Persistent link: https://www.econbiz.de/10010605223
Saved in:
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