A duscrete-time model of high-frequency stock returns

DOI10.1080/14697680400000018zbMath1409.62213OpenAlexW2082853701MaRDI QIDQ4610219

Takaki Hayashi

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680400000018

zbMATH Keywords

hidden Markov modelfinancial time seriesdiscrete-time modelhigh-frequency stock returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)

Related Items (1)

General framework and model building in the class of hidden mixture transition distribution models

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