The memory of volatility
Kai R. Wenger, Christian H. Leschinski, Philipp Sibbertsen
| Year of publication: |
2018
|
|---|---|
| Authors: | Wenger, Kai R. ; Leschinski, Christian H. ; Sibbertsen, Philipp |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 2.2018, 1, p. 137-159
|
| Subject: | long memory | high-frequency data | perturbation | spurious long memory | realized volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARMA-Modell | ARMA model | Stochastischer Prozess | Stochastic process |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2018.1.137 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012137903