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Drift in Transaction‐Level Asset Price Models - MaRDI portal

Drift in Transaction‐Level Asset Price Models (Q5357989)

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scientific article; zbMATH DE number 6775928
Language Label Description Also known as
English
Drift in Transaction‐Level Asset Price Models
scientific article; zbMATH DE number 6775928

    Statements

    title
    Drift in Transaction‐Level Asset Price Models (English)
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    author
    Wen Cao
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    Clifford M. Hurvich
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    Philippe Soulier
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    publication date
    18 September 2017
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    zbMATH Keywords
    growth rates
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    heavy tails
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    long memory
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    subsampling
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    durations
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    Identifiers

    DOI
    10.1111/jtsa.12235
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    Mathematics Subject Classification ID
    62P05
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    60F05
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    60G55
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    62M10
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    91B25
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    zbMATH DE Number
    6775928
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    OpenAlex ID
    W1491723331
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    arXiv ID
    1211.5372
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