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 |
| _version_ | 1848752040621113344 |
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| author | Luong, C. Dokuchaev, Nikolai |
| author_facet | Luong, C. Dokuchaev, Nikolai |
| author_sort | Luong, C. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 prices. It appears that these equations allow to model the price processes with volatility that increases when the sampling rates increase. In addition, these equations are able to model the inverse phenomena where the volatility decreases with the increase in sampling frequencies. |
| first_indexed | 2025-11-14T08:02:18Z |
| format | Journal Article |
| id | curtin-20.500.11937-26630 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:02:18Z |
| publishDate | 2016 |
| publisher | World Scientific Publishing Co. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-266302017-09-13T16:09:11Z Modelling dependency of volatility on sampling frequency via delay equations Luong, C. Dokuchaev, Nikolai volatility stock price models delay equations sampling- frequency multiple time-scales 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 prices. It appears that these equations allow to model the price processes with volatility that increases when the sampling rates increase. In addition, these equations are able to model the inverse phenomena where the volatility decreases with the increase in sampling frequencies. 2016 Journal Article http://hdl.handle.net/20.500.11937/26630 10.1142/S201049521650007X http://purl.org/au-research/grants/arc/DP120100928 World Scientific Publishing Co. restricted |
| spellingShingle | volatility stock price models delay equations sampling- frequency multiple time-scales Luong, C. Dokuchaev, Nikolai Modelling dependency of volatility on sampling frequency via delay equations |
| title | Modelling dependency of volatility on sampling frequency via delay equations |
| title_full | Modelling dependency of volatility on sampling frequency via delay equations |
| title_fullStr | Modelling dependency of volatility on sampling frequency via delay equations |
| title_full_unstemmed | Modelling dependency of volatility on sampling frequency via delay equations |
| title_short | Modelling dependency of volatility on sampling frequency via delay equations |
| title_sort | modelling dependency of volatility on sampling frequency via delay equations |
| topic | volatility stock price models delay equations sampling- frequency multiple time-scales |
| url | http://purl.org/au-research/grants/arc/DP120100928 http://hdl.handle.net/20.500.11937/26630 |