Modeling and forecasting persistent financial durations

DOI10.1080/07474938.2014.977057OpenAlexW2096172489WikidataQ56609284 ScholiaQ56609284MaRDI QIDQ5864631

Jozef Barunik, Filip Zikes, Nikhil Shenai

Publication date: 8 June 2022

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

Full work available at URL: https://arxiv.org/abs/1208.3087

zbMATH Keywords

long memoryrealized volatilityWhittle estimationmultifractal modelsprice durations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

Review of statistical approaches for modeling high-frequency trading data

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