Nonlinear dynamics in high-frequency int
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David G. McMillan; Alan E. H. Speight
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Article
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2002
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John Wiley and Sons
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English
⚖ 151 KB
## Abstract Recent research investigating the properties of high‐frequency financial data has suggested that the stochastic nonlinearity widely present in such data may be characterized by heterogeneous components in conditional volatility, and nonlinear dependence of threshold autoregressive form