Revisiting the long memory dynamics of the implied-realized volatility relationship : new evidence from the wavelet regression
Jozef Baruník, Michaela Hlínková
| Year of publication: |
April 2016
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| Authors: | Baruník, Jozef ; Hlínková, Michaela |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 54.2016, p. 503-514
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| Subject: | Wavelet band spectrum regression | Corridor implied volatility | Realized volatility | Fractional cointegration | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Regressionsanalyse | Regression analysis | Zustandsraummodell | State space model | Kointegration | Cointegration | ARCH-Modell | ARCH model |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Tabellen enthalten in: Volume 54, April 2016, Seite I-IV |
| Other identifiers: | 10.1016/j.econmod.2016.01.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011642296