Dynamic modelling of irregular times, prices and volumes at high frequencies
This thesis undertakes an investigation into time series at high frequency. The three main channels of information in high frequency data - irregular time intervals (durations), prices and volumes - are all explored and modelled to improve current understanding, while accounting for the long memory...
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Imperial College London
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.550847 |