Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Year of publication: |
August 2015
|
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Authors: | Duong, Diep ; Swanson, Norman R. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 606-621
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Subject: | Realized volatility | Jump power variations | Downside risk | Semivariances | Market microstructure | Volatility forecasts | Jump test | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Marktmikrostruktur | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Theorie | Theory | Kapitaleinkommen | Capital income |
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