Modeling and forecasting firm-specific volatility : the role of asymmetry and long-memory
Francisco González-Pla, Lidija Lovreta
| Year of publication: |
2022
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|---|---|
| Authors: | González-Pla, Francisco ; Lovreta, Lidija |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 48.2022, p. 1-7
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| Subject: | Asymmetry | Firm-level volatility | Forecasting | GARCH models | Long-memory | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.102931 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013463084