异方差
计量经济学
自相关
库存(枪支)
经济
零(语言学)
蒙特卡罗方法
金融市场
股票市场
统计
数学
金融经济学
财务
地理
语言学
哲学
背景(考古学)
考古
摘要
Abstract The purpose of this article is to study serial correlations, allowing for unconditional heteroscedasticity and time‐varying probabilities of zero financial returns. Depending on the set‐up, we investigate how the standard autocorrelations can be accommodated to deliver an accurate representation of the serial correlations of stock price changes. We shed light on the properties of the different serial correlations measures by means of Monte Carlo experiments. Theoretical results are also illustrated on shares from the Chilean stock market and Facebook stock intraday data.
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