Normally distributed high-frequency returns: a subordination approach

DOI10.1080/14697688.2015.1023335zbMath1468.91155OpenAlexW2013104662MaRDI QIDQ5001138

Ata Türkoğlu

Publication date: 16 July 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2015.1023335

zbMATH Keywords

subordinationnormal distributionGARCHmarket microstructuretime synchronizationnatural time

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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