A generalized heterogeneous autoregressive model using market information
Rodrigo Hizmeri, Marwan Izzeldin, Ingmar Nolte and Vasileios Pappas
| Year of publication: |
2022
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|---|---|
| Authors: | Hizmeri, Rodrigo ; Izzeldin, Marwan ; Nolte, Ingmar ; Pappas, Vasileios |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 8, p. 1513-1534
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| Subject: | Microstructure noise | Pre-averaged estimators | Realized volatility | Semi-covariance | Semi-variance | Volatility forecasting | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading | Autokorrelation | Autocorrelation | Börsenkurs | Share price |
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