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GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model - MaRDI portal

GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model (Q3368216)

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English
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
scientific article

    Statements

    title
    GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model (English)
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    author
    Eric Ghysels
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    Joanna Jasiak
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    publication date
    27 January 2006
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    zbMATH Keywords
    tick-by-tick data
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    subordinated processes
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    duration models
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    volatility
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    Identifiers

    zbMATH DE Number
    5002296
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    OpenAlex ID
    W1982671539
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