Matches in SemOpenAlex for { <https://semopenalex.org/work/W1852203435> ?p ?o ?g. }
Showing items 1 to 82 of
82
with 100 items per page.
- W1852203435 abstract "This paper deals with the problem of estimation and prediction in a compound Poisson ECOGARCH(1,1) model. For this we construct a quasi maximum likelihood estimator under the assumption that all jumps of the log-price process are observable. Since these jumps occur at unequally spaced time points, it is clear that the estimator has to be computed for irregularly spaced data. Assuming normally distributed jumps and a recursion to estimate the volatility allows to define and compute a quasi-likelihood function, which is maximised numerically. The small sample behaviour of the estimator is analysed in a small simulation study. Based on the recursion for the volatility process a one-step ahead prediction of the volatility is defined as well as a prediction interval for the log-price process. Finally the model is fitted to tick-by-tick data of the New York Stock Exchange." @default.
- W1852203435 created "2016-06-24" @default.
- W1852203435 creator A5014518317 @default.
- W1852203435 creator A5020151207 @default.
- W1852203435 date "2006-01-01" @default.
- W1852203435 modified "2023-09-23" @default.
- W1852203435 title "Quasi maximum likelihood estimation and prediction in the compound Poisson ECOGARCH(1,1) model" @default.
- W1852203435 cites W1591798773 @default.
- W1852203435 cites W1979575715 @default.
- W1852203435 cites W1999814123 @default.
- W1852203435 cites W1999996900 @default.
- W1852203435 cites W2022695740 @default.
- W1852203435 cites W2025720061 @default.
- W1852203435 cites W2055558897 @default.
- W1852203435 cites W2093230975 @default.
- W1852203435 cites W2140971281 @default.
- W1852203435 cites W2162422149 @default.
- W1852203435 cites W2171440547 @default.
- W1852203435 cites W2577489217 @default.
- W1852203435 cites W2797641211 @default.
- W1852203435 doi "https://doi.org/10.5282/ubm/epub.5893" @default.
- W1852203435 hasPublicationYear "2006" @default.
- W1852203435 type Work @default.
- W1852203435 sameAs 1852203435 @default.
- W1852203435 citedByCount "3" @default.
- W1852203435 countsByYear W18522034352016 @default.
- W1852203435 crossrefType "journal-article" @default.
- W1852203435 hasAuthorship W1852203435A5014518317 @default.
- W1852203435 hasAuthorship W1852203435A5020151207 @default.
- W1852203435 hasConcept C100906024 @default.
- W1852203435 hasConcept C105795698 @default.
- W1852203435 hasConcept C11413529 @default.
- W1852203435 hasConcept C149782125 @default.
- W1852203435 hasConcept C168773036 @default.
- W1852203435 hasConcept C185429906 @default.
- W1852203435 hasConcept C28826006 @default.
- W1852203435 hasConcept C33643355 @default.
- W1852203435 hasConcept C33923547 @default.
- W1852203435 hasConcept C49781872 @default.
- W1852203435 hasConcept C89106044 @default.
- W1852203435 hasConcept C91025261 @default.
- W1852203435 hasConcept C91602232 @default.
- W1852203435 hasConceptScore W1852203435C100906024 @default.
- W1852203435 hasConceptScore W1852203435C105795698 @default.
- W1852203435 hasConceptScore W1852203435C11413529 @default.
- W1852203435 hasConceptScore W1852203435C149782125 @default.
- W1852203435 hasConceptScore W1852203435C168773036 @default.
- W1852203435 hasConceptScore W1852203435C185429906 @default.
- W1852203435 hasConceptScore W1852203435C28826006 @default.
- W1852203435 hasConceptScore W1852203435C33643355 @default.
- W1852203435 hasConceptScore W1852203435C33923547 @default.
- W1852203435 hasConceptScore W1852203435C49781872 @default.
- W1852203435 hasConceptScore W1852203435C89106044 @default.
- W1852203435 hasConceptScore W1852203435C91025261 @default.
- W1852203435 hasConceptScore W1852203435C91602232 @default.
- W1852203435 hasLocation W18522034351 @default.
- W1852203435 hasOpenAccess W1852203435 @default.
- W1852203435 hasPrimaryLocation W18522034351 @default.
- W1852203435 hasRelatedWork W2191410532 @default.
- W1852203435 hasRelatedWork W2275668171 @default.
- W1852203435 hasRelatedWork W2279204358 @default.
- W1852203435 hasRelatedWork W2588278413 @default.
- W1852203435 hasRelatedWork W2759621660 @default.
- W1852203435 hasRelatedWork W2765984107 @default.
- W1852203435 hasRelatedWork W2783905818 @default.
- W1852203435 hasRelatedWork W2786529253 @default.
- W1852203435 hasRelatedWork W2891633827 @default.
- W1852203435 hasRelatedWork W2963288217 @default.
- W1852203435 hasRelatedWork W2966080084 @default.
- W1852203435 hasRelatedWork W2969281549 @default.
- W1852203435 hasRelatedWork W3046189966 @default.
- W1852203435 hasRelatedWork W3093425989 @default.
- W1852203435 hasRelatedWork W3123038425 @default.
- W1852203435 hasRelatedWork W3124587758 @default.
- W1852203435 hasRelatedWork W3124996428 @default.
- W1852203435 hasRelatedWork W3125650013 @default.
- W1852203435 hasRelatedWork W3159963737 @default.
- W1852203435 hasRelatedWork W3212971401 @default.
- W1852203435 isParatext "false" @default.
- W1852203435 isRetracted "false" @default.
- W1852203435 magId "1852203435" @default.
- W1852203435 workType "article" @default.