Factor high-frequency-based volatility (HEAVY) models
Kevin Sheppard, Wen Xu
| Year of publication: |
2019
|
|---|---|
| Authors: | Sheppard, Kevin ; Xu, Wen |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 1, p. 33-65
|
| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054425