IDEAS home Printed from https://ideas.repec.org/h/spr/sprfcp/978-3-642-31742-2_2.html
   My bibliography  Save this book chapter

Notation, Naming, and General Definitions

Author

Listed:
  • Gilles Zumbach

    (Consulting in Financial Research)

Abstract

The empirical studies included in this book are done over multiple time scales, and a large part with high-frequency time series. The usual notations need to be extended in order to denote accurately the time and time interval(s) dependencies in the computed time series like returns and volatilities. For inhomogeneous time series, a set of convenient operators is introduced, which makes it possible to estimate efficiently derived quantities like returns, volatilities, and volatility changes, with definitions that are appropriate for random time series. The choice of a convenient normalization annualizes systematically the derived quantities in order to easily compare statistics across time horizons. The definitions of the average, expectation, and histogram complete the set of basic tools needed for the empirical analysis.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-642-31742-2_2
DOI: 10.1007/978-3-642-31742-2_2
as

Download full text from publisher

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a
for a similarly titled item that would be available.

More about this item

Keywords

;
;
;
;
;

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprfcp:978-3-642-31742-2_2. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.