Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
Year of publication: |
2014
|
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Authors: | Herrmann, Klaus ; Teis, Stefan ; Yu, Weijun |
Publisher: |
Erlangen : Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung |
Subject: | Volatility | realized variance | intraday seasonality | volatility prediction | high-frequency data | tick data | fractional integration | sampling frequency | Volatilität | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Stichprobenerhebung | Sampling | Deutschland | Germany | Schätzung | Estimation | Börsenkurs | Share price | ARCH-Modell | ARCH model | Index-Futures | Index futures |
Extent: | Online-Ressource (29 S.) graph. Darst. |
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Series: | IWQW discussion paper series. - Erlangen : [Verlag nicht ermittelbar], ISSN 1867-6707, ZDB-ID 2523749-4. - Vol. 15/2014 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/105257 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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