ARCH-GARCH approaches to modeling high-frequency financial data

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 216-220

  Podobnik, Boris ^a,b   Ivanov, Plamen Ch ^a   Grosse, Ivo ^c   Matia, Kaushik ^a   Stanley, H Eugene ^a  

^a Boston University   (United States)

^b University of Rijeka   (Croatia)

^c LEIBNIZ INSTITUTE OF PLANT GENETICS AND CROP PLANT RESEARCH IPK   (Germany)

Author keywords

Random walks; Stochastic processes

Indexed keywords

CORRELATION METHODS; DATA ACQUISITION; DATA REDUCTION; FUNCTIONS; MATHEMATICAL MODELS; RANDOM PROCESSES; REGRESSION ANALYSIS;

MAGNITUDE CORRELATIONS; RANDOM WALKS; TRIGNOMETRIC FUNCTIONS;

INDUSTRIAL ECONOMICS;

EID: 5444255828     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.120     Document Type: Conference Paper

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