Chasing volatility : a persistent multiplicative error model with jumps
Massimiliano Caporin, Eduardo Rossi, Paolo Santucci de Magistris
| Year of publication: |
May 2017
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|---|---|
| Authors: | Caporin, Massimiliano ; Rossi, Eduardo ; Santucci de Magistris, Paolo |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 198.2017, 1, p. 122-145
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| Subject: | Multiplicative Error Model | Volatility jumps | Bipower variation | Volatility-at-risk | Volatilität | Volatility | Theorie | Theory | Börsenkurs | Share price | Schätzung | Estimation | Kointegration | Cointegration |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.01.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011818372