Volatility models for stylized facts of high‐frequency financial data

DOI10.1111/jtsa.12666arXiv2205.15808MaRDI QIDQ6135344

Minseok Shin, Donggyu Kim

Publication date: 24 August 2023

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.15808

zbMATH Keywords

heavy tailleverage effectvolatility clusteringjump diffusion processhuber loss

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

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