A simple model for now-casting volatility series
Jörg Breitung, Christian M. Hafner
| Year of publication: |
October-December 2016
|
|---|---|
| Authors: | Breitung, Jörg ; Hafner, Christian M. |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 32.2016, 4, p. 1247-1255
|
| Subject: | EGARCH | Stochastic volatility | ARMA | Realized volatility | Leverage | Volatilität | Volatility | ARCH-Modell | ARCH model | ARMA-Modell | ARMA model | Kapitalmarktrendite | Capital market returns | Stochastischer Prozess | Stochastic process | Theorie | Theory | Stochastische Volatilität | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2016.04.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011622143