Predicting Returns and Volatilities with Ultra-High Frequency Data - Implications for the efficient market hypothesis. - PowerPoint PPT Presentation

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Predicting Returns and Volatilities with Ultra-High Frequency Data - Implications for the efficient market hypothesis.

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... a multinomial random variable. ... likelihood is simply a multinomial for each observation conditional ... Multinomial (ACM) model as: Where is the inverse ... – PowerPoint PPT presentation

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