A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
Year of publication: |
2013
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Authors: | Atak, Alev ; Kapetanios, George |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 120.2013, 2, p. 224-228
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Subject: | Realized volatility | Bipower variation | Jump tests | Factor models | Volatility forecasting | Model selection | Volatilität | Volatility | Prognoseverfahren | Forecasting model | CAPM | Schätztheorie | Estimation theory | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis |
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