Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
Year of publication: |
2019
|
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Authors: | Catania, Leopoldo |
Other Persons: | Proietti, Tommaso (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (29 p) |
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Series: | CEIS Working Paper ; No. 450 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 6, 2019 erstellt |
Other identifiers: | 10.2139/ssrn.3330048 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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