Modelling dependency of volatility on sampling frequency via delay equations

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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...

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Bibliographic Details
Main Authors:	Luong, C., Dokuchaev, Nikolai
Format:	Journal Article
Published:	World Scientific Publishing Co. 2016
Subjects:	volatility stock price models delay equations sampling- frequency multiple time-scales
Online Access:	http://purl.org/au-research/grants/arc/DP120100928 http://hdl.handle.net/20.500.11937/26630

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