Stochastic model for assets price in high frequency based on randomly indexed branching processes
We present an asset pricing model based on a randomly indexed branching process as proposed by T.W. Epps in 1996, as an alternative for the stochastic modeling of the price of assets in high frequency. The basic results of the theory that allows understanding the model, the characterization of the p...
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| Formato: | Artículo (Article) |
| Lenguaje: | Español (Spanish) |
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Facultad de Finanzas, Gobierno y Relaciones Internacionales
2018
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| Acceso en línea: | https://revistas.uexternado.edu.co/index.php/odeon/article/view/5639 |