Time-Deformation Modeling of Stock Returns Directed by Duration Processes

DOI10.1080/07474938.2013.808478zbMath1491.62155OpenAlexW1528960478MaRDI QIDQ5080519

Tony S. Wirjanto, Dingan Feng, Peter X.-K. Song

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2013.808478

zbMATH Keywords

ergodicitystationaritymethod of simulated momentsreturn processduration process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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