Identification of volatility proxies as expectations of squared financial returns
Year of publication: |
2021
|
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Authors: | Sucarrat, Genaro |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 4, p. 1677-1690
|
Subject: | Financial time-series econometrics | GARCH models | Realised volatility | Volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | Börsenkurs | Share price | Schätztheorie | Estimation theory |
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