HARK the SHARK : realized volatility modeling with measurement errors and nonlinear dependencies
Year of publication: |
2021
|
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Authors: | Buccheri, Giuseppe ; Corsi, Fulvio |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 4, p. 614-649
|
Subject: | ealized volatility | HAR | measurement errors | nonlinear time series | score-drivenmodels | Kalman filter | Volatilität | Volatility | Statistischer Fehler | Statistical error | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Nichtlineare Regression | Nonlinear regression | Zustandsraummodell | State space model |
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