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A compound beta distribution with applications in finance

✍ Scribed by Saralees Nadarajah; Arjun K. Gupta

Publisher
Springer
Year
2006
Tongue
English
Weight
209 KB
Volume
16
Category
Article
ISSN
1613-981X

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πŸ“œ SIMILAR VOLUMES

Random aggregation with applications in
Random aggregation with applications in high-frequency finance
✍ Ruey S. Tsay; Jin-Huei Yeh πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 406 KB

## Abstract In this paper we consider properties of random aggregation in time series analysis. For application, we focus on the problem of estimating the high‐frequency beta of an asset return when the returns are subject to the effects of market microstructure. Specifically, we study the correlat