Time-Deformation Modeling Of Stock Returns Directed By Duration Processes
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References listed on IDEAS
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More about this item
KeywordsDuration process; Ergodicity; Method of simulated moments; Return process; Stationarity.;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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