Allowing for jump measurements in volatility : a high-frequency financial data analysis of individual stocks
Year of publication: |
April 2016
|
---|---|
Authors: | Papavassiliou, Vassilios G. |
Published in: |
Bulletin of economic research. - Oxford : Wiley-Blackwell, ISSN 0307-3378, ZDB-ID 860069-7. - Vol. 68.2016, 2, p. 124-132
|
Subject: | HAR-RV model | high-frequency data | realized volatility | volatility jumps | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Finanzmarkt | Financial market | Schätzung | Estimation | Theorie | Theory | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model |
-
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz, (2023)
-
Examining realized volatility regimes under a threshold stochastic volatility model
Xu, Dinghai, (2012)
-
The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe, (2020)
- More ...
-
A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework
Papavassiliou, Vassilios G., (2013)
-
Cross-asset contagion in times of stress
Papavassiliou, Vassilios G., (2014)
-
The Efficiency of the Realized Range Measure of Daily Volatility: Evidence from Greece
Papavassiliou, Vassilios G., (2012)
- More ...