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  5. Modeling and Analysis of Low-Frequency and High-Frequency Financial Data

Modeling and Analysis of Low-Frequency and High-Frequency Financial Data

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：du_info26
【摘 要】
：
This paper introduces a unifued model,which can accommodate both a continuous-time It(o) process used to model high-frequency stock prices and a GARCH process employed to model low-frequency stock pri
【作 者】
：
Yazhen Wang 
【机 构】
：
University of Wisconsin-Madison
【出 处】
：
上海交通大学
【发表日期】
：
2016年4期
【关键词】
：
GARCH high-frequency data low-frequency data It(o) process quasi-maximum likelih 
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　　This paper introduces a unifued model,which can accommodate both a continuous-time It(o) process used to model high-frequency stock prices and a GARCH process employed to model low-frequency stock prices,by embedding a discrete-time GARCH volatility in its continuous-time instantaneous volatility.This model is called a unified GARCH-It(o) Model.
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