On autocorrelation estimation of high frequency squared returns
碩士 === 國立中山大學 === 應用數學系研究所 === 98 === In this paper, we investigate the problem of estimating the autocorrelation of squared returns modeled by diffusion processes with data observed at non-equi-spaced discrete times. Throughout, we will suppose that the stock price processes evolve in continuous ti...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/51598320107837477106 |