Is volatility clustering of asset returns asymmetric?
Cathy Ning; Dinghai Xu; Tony S. Wirjanto
| Year of publication: |
2015
|
|---|---|
| Authors: | Ning, Cathy Q. ; Xu, Dinghai ; Wirjanto, Tony S. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 52.2015, p. 62-76
|
| Subject: | Volatility clustering | Univariate time series copulas | Realized kernel volatility | Value-at-Risk | Volatilität | Volatility | Kapitalmarktrendite | Capital market returns | Risikomaß | Risk measure | Nichtparametrische Schätzung | Nonparametric estimation | Welt | World | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011377303