A generalized heterogeneous autoregressive model using market information
Rodrigo Hizmeri, Marwan Izzeldin, Ingmar Nolte and Vasileios Pappas
| Year of publication: |
2022
|
|---|---|
| Authors: | Hizmeri, Rodrigo ; Izzeldin, Marwan ; Nolte, Ingmar ; Pappas, Vasileios |
| Subject: | Microstructure noise | Pre-averaged estimators | Realized volatility | Semi-covariance | Semi-variance | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Zeitreihenanalyse | Time series analysis | Autokorrelation | Autocorrelation | Kapitaleinkommen | Capital income |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2076606 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367925