Completion time structures of stock price movements

DOI10.1007/s10436-005-0012-0zbMath1233.91327OpenAlexW2031476092MaRDI QIDQ665544

Asger Lunde, Allan G. Timmermann

Publication date: 5 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-005-0012-0

zbMATH Keywords

completion timeduration modelstock price movementstime-varying covariates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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