Threshold bipower variation and the impact of jumps on volatility forecasting
Year of publication: |
2010
|
---|---|
Authors: | Corsi, Fulvio ; Pirino, Davide ; Renò, Roberto |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 159.2010, 2, p. 276-288
|
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Aktienindex | Stock index |
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