Factor high-frequency-based volatility (HEAVY) models
Year of publication: |
2019
|
---|---|
Authors: | Sheppard, Kevin ; Xu, Wen |
Subject: | conditional beta | conditional covariance | forecasting | realized covariance | realized Kernel | systematic risk | Volatilität | Volatility | Korrelation | Correlation | CAPM | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Betafaktor | Beta risk | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Theorie | Theory |
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