Level changes in volatility models
| Year of publication: |
2012
|
|---|---|
| Authors: | Craioveanu, Mihaela ; Hillebrand, Eric |
| Published in: |
Annals of Finance. - Springer. - Vol. 8.2012, 2, p. 277-308
|
| Publisher: |
Springer |
| Subject: | Level shifts | Stochastic volatility | Persistence | Realized volatility | HAR-RV | ARMA | VAR | GARCH |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010866518