Vahidin Jeleskovic

affiliation not provided to SSRN

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Scholarly Papers (1)

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Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models

Number of pages: 16 Posted: 01 Nov 2008
Nikolaus Hautsch and Vahidin Jeleskovic
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
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Abstract:

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Multiplicative error models, volatility, liquidity, high-frequency data