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Document type:
Zeitschriftenaufsatz 
Author(s):
Haug, S. and Czado, C. 
Title:
Mixed effect models for absolute log returns of ultra high frequency data 
Abstract:
Considering absolute log returns as a proxy for stochastic volatility, the influence of explanatory variables on absolute log returns of ultra high frequency data is analysed. The irregular time structure and time dependency of the data is captured by utilizing a continuous time ARMA(p,q) process. In particular we propose a mixed effect model for the absolute log returns. Explanatory variable information is used to model the fixed effects, whereas the error is decomposed in a non-negative Levy...    »
 
Keywords:
ultra high frequency, CARMA, mixed effect model, state space, Kalman filter, variogram 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Applied Stochastic Models in Business and Industry 
Year:
2006 
Journal volume:
22 
Journal issue:
Pages contribution:
243-267 
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
Status:
Postprint / reviewed 
Semester:
SS 06 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text