The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects
Year of publication: |
2009-06
|
---|---|
Authors: | Ané, Thierry ; Métais, Carole |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Realized volatility | Asymmetric dependence | Positive kernel | Contamination |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Notes: | Published in International Review of Financial Analysis, 2009, Vol. 18, no. 3. pp. 134-150.Length: 16 pages |
Classification: | C52 - Model Evaluation and Testing ; C14 - Semiparametric and Nonparametric Methods |
Source: |
-
Barunik, Jozef, (2015)
-
Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin, (2016)
-
Barunik, Jozef, (2015)
- More ...
-
Ané, Thierry, (2009)
-
Jump distribution characteristics : evidence from European stock markets
Ané, Thierry, (2010)
-
Ané, Thierry, (2011)
- More ...