Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR
Year of publication: |
2004-08-11
|
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Authors: | Morimoto, Takayuki |
Institutions: | Econometric Society |
Subject: | High frequency data | Duration model | Instantaneous volatility | VaR |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Econometric Society Far Eastern Meetings 2004 Number 592 |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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