مرکز منطقه ای اطلاع رساني علوم و فناوري - Volatility estimation on the basis of price intensities

Title of article :

Volatility estimation on the basis of price intensities

Author/Authors :

Frank Gerhard، نويسنده , , Nikolaus Hautsch، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2002

Pages :

From page :

To page :

Keywords :

proportional hazard model , Price durations , High-frequency data , Intraday and time-to-maturityseasonalities

Journal title :

Journal of Empirical Finance

Serial Year :

2002

Journal title :

Journal of Empirical Finance

Record number :

130706

Link To Document :