Forecasting Realized Intra-Day Volatility and Value at Risk : Evidence From a Fractional Integrated Asymmetric Power ARCH Skewed-T Model
Year of publication: |
2018
|
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Authors: | Degiannakis, Stavros Antonios |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Schätzung | Estimation | Prognoseverfahren | Forecasting model |
Extent: | 1 Online-Ressource (24 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: MPRA Paper No. 80488 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2004 erstellt |
Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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