Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
Year of publication: |
2010-05
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Authors: | Liao, Yin ; Anderson, Heather ; Vahid, Farshid |
Institutions: | College of Business and Economics, Australian National University |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 45 pages longPages |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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