Realized cumulants for martingales (Q2064805)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Realized cumulants for martingales |
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Realized cumulants for martingales (English)
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6 January 2022
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In the present paper, authors do develop a cumulants' extraction of high frequency data, which usually appear in financial markets. This paper focus on arithmetic techniques for moments' calculation, which may applied on forecasting values of such data.
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moments' extraction of martingales
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high-frequency data modelling
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