Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Diep Duong, Norman R. Swanson
| 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 | Kapitaleinkommen | Capital income | Marktmikrostruktur | Schätzung | Estimation | Theorie | Theory | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.042 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011499786