Modeling and forecasting return jumps using realized variation measures
Yi Liu, Huifang Liu, Lei Zhang
| Year of publication: |
2019
|
|---|---|
| Authors: | Liu, Yi ; Liu, Huifang ; Zhang, Lei |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 76.2019, p. 63-80
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| Subject: | Density forecast | Hazard rates | Jumps | Probability forecast | Realized variation | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Kapitaleinkommen | Capital income | Theorie | Theory | Statistische Verteilung | Statistical distribution | Prognose | Forecast | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2018.07.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012198262