Volatility modeling and prediction: the role of price impact
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Publication:5120732
DOI10.1080/14697688.2019.1636123zbMath1441.91067OpenAlexW2963705173MaRDI QIDQ5120732
Yi Cao, Jia Zhai, Xiaoquan Liu, Ying Jiang
Publication date: 16 September 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://eprints.nottingham.ac.uk/59571/1/Volatility%20modeling%20and%20prediction%20the%20role%20of%20price%20impact.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Cites Work
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