Modeling jumps and volatility of the indian stock market using high-frequency data
Rituparna Sen, Pulkit Mehrotra
| Year of publication: |
2016
|
|---|---|
| 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
|
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s40953-016-0028-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012418200