Forecasting the realized volatility : the role of jumps
Year of publication: |
August 2016
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Authors: | Liu, Zhichao ; Ma, Feng ; Wang, Xunxiao ; Xia, Zean |
Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 23.2016, 10/12, p. 736-739
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Subject: | Realized volatility | HAR-RV model | ABD-LM jump test | MCS | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
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