Modelling dependency of volatility on sampling frequency via delay equations
The paper studies the modelling of time series with the prescribed dependence of the volatility on the sampling frequency. This dependence is often observed for financial time series. We suggest to model the dependence of volatility on sampling frequency via delay equations for the underlying pr...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
World Scientific Publishing Co.
2016
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| Subjects: | |
| Online Access: | http://purl.org/au-research/grants/arc/DP120100928 http://hdl.handle.net/20.500.11937/26630 |