Regimes and long memory in realized volatility
Elena Goldman, Jouahn Nam, Hiroki Tsurumi and Jun Wang
| Year of publication: |
2013
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|---|---|
| Authors: | Goldman, Elena ; Nam, Jouahn ; Tsurumi, Hiroki ; Jun, Wang |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 17.2013, 5, p. 521-549
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| Subject: | Bayesian model selection | forecasting | realized volatility | threshold regimes | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Bayes-Statistik | Bayesian inference | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | 10.1515/snde-2012-0018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010228559