Are there structural breaks in realized volatility?
Year of publication: |
2008
|
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Authors: | Liu, Chun ; Maheu, John M. |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 6.2008, 3, p. 326-360
|
Subject: | Strukturbruch | Structural break | Volatilität | Volatility | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
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