Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling
Fulvio Corsi; Roberto Renò
| Year of publication: |
2012
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|---|---|
| Authors: | Corsi, Fulvio ; Renò, Roberto |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 30.2012, 3, p. 368-380
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| Subject: | Volatilität | Volatility | Theorie | Theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009657273