Leverage effect in energy futures
Year of publication: |
2014
|
---|---|
Authors: | Kristoufek, Ladislav |
Publisher: |
Kiel : Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance |
Subject: | quadratic variation | realized variance | jumps | market microstructure noise | wavelets |
Series: | FinMaP-Working Paper ; 17 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 797426647 [GVK] hdl:10419/102281 [Handle] RePEc:zbw:fmpwps:17 [RePEc] |
Classification: | C10 - Econometric and Statistical Methods: General. General ; G10 - General Financial Markets. General ; Q40 - Energy. General |
Source: |
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Leverage effect in energy futures
Kristoufek, Ladislav, (2014)
-
Leverage effect in energy futures
Kristoufek, Ladislav, (2014)
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Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
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