مرکز منطقه ای اطلاع رساني علوم و فناوري - Financial econometric analysis at ultra-high frequency: Data handling concerns

Title of article :

Financial econometric analysis at ultra-high frequency: Data handling concerns

Author/Authors :

C.T. Brownlees، نويسنده , , G.M. Gallo، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

2232

To page :

2245

Keywords :

Financial ultra high-frequency data , OUTLIERS , ACD modeling , Trades and quotes (TAQ)

Journal title :

Computational Statistics and Data Analysis

Serial Year :

2006

Journal title :

Computational Statistics and Data Analysis

Record number :

145230

Link To Document :