المؤلفون: Ozturk, Sait R., van der Wel, Michel, van Dijk, Dick

مصطلحات موضوعية: ddc:330, C32, G14, Afterhours Trading, Market microstructure, Kalman filter

العلاقة: Series: Tinbergen Institute Discussion Paper; No. 15-082/III; gbv-ppn:830248536; http://hdl.handle.net/10419/125085Test; RePEc:tin:wpaper:20150082

الإتاحة: http://hdl.handle.net/10419/125085Test

المؤلفون: Ozturk, Sait, van der Wel, Michel, van Dijk, Dick

مصطلحات موضوعية: ddc:330, C32, G14, High-frequency data, Market microstructure, Price Discovery, Kalman filter

العلاقة: Series: Tinbergen Institute Discussion Paper; No. 14-027/III; gbv-ppn:779878051; http://hdl.handle.net/10419/98891Test; RePEc:dgr:uvatin:20140027

الإتاحة: http://hdl.handle.net/10419/98891Test

المؤلفون: Wel, Michel van der, Ozturk, Sait R., Dijk, Dick van

المساهمون: Hillebrand, Eric, Koopman, Siem Jan

المصدر: Wel , M V D , Ozturk , S R & Dijk , D V 2016 , Dynamic Factor Models for the Volatility Surface . in E Hillebrand & S J Koopman (eds) , Advances in Econometrics . vol. 35 , Emerald Group Publishing , Bingley , Advances in Econometrics , vol. 35 , pp. 127-174 . https://doi.org/10.1108/S0731-905320150000035004Test

مصطلحات موضوعية: Dynamic Factor Models, Implied Volatility Surface, Kalman filter, Max-imum likelihood

الإتاحة: https://doi.org/10.1108/S0731-905320150000035004Test
https://pure.au.dk/portal/da/publications/dynamic-factor-models-for-the-volatility-surfaceTest(93c2c974-acd9-4f2f-85d9-76e56e1cf600).html

المؤلفون: Ozturk, Sait R., van der Wel, Michel, van Dijk, Dick

المصدر: Ozturk , S R , van der Wel , M & van Dijk , D 2017 , ' Intraday price discovery in fragmented markets ' , Journal of Financial Markets , vol. 32 , pp. 28-48 . https://doi.org/10.1016/j.finmar.2016.10.001Test

مصطلحات موضوعية: High-frequency data, Kalman filter, Market microstructure, Price discovery

الإتاحة: https://doi.org/10.1016/j.finmar.2016.10.001Test
https://pure.au.dk/portal/da/publications/intraday-price-discovery-in-fragmented-marketsTest(1a8c901e-2f65-4eee-aabd-3774adeae55f).html
http://www.scopus.com/inward/record.url?scp=85005893738&partnerID=8YFLogxKTest

المؤلفون: van der Wel, Michel, Ozturk, Sait R., Dijk, Dick van

المصدر: van der Wel , M , Ozturk , S R & Dijk , D V 2015 ' Dynamic Factor Models for the Volatility Surface ' CREATES Research Paper , no. 2015-13 , Institut for Økonomi, Aarhus Universitet , Aarhus .

مصطلحات موضوعية: Dynamic Factor Models, Implied Volatility Surface, Kalman filter, Max-imum likelihood

وصف الملف: application/pdf

الإتاحة: https://pure.au.dk/portal/da/publications/dynamic-factor-models-for-the-volatility-surfaceTest(0c462a82-af70-49a6-b0a4-c8d4c0663751).html
https://pure.au.dk/ws/files/85276641/rp15_13.pdfTest