Modeling jumps and volatility of the indian stock market using high-frequency data
Year of publication: |
2016
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Authors: | Sen, Rituparna ; Mehrotra, Pulkit |
Published in: |
Journal of quantitative economics. - [New Delhi] : Springer India, ISSN 2364-1045, ZDB-ID 2842078-0. - Vol. 14.2016, 1, p. 137-150
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Subject: | High frequency financial data | Realized volatility | Jump detection | Asymmetric power ARCH | Volatilität | Volatility | Indien | India | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Aktienindex | Stock index | Aktienmarkt | Stock market |
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