Threshold bipower variation and the impact of jumps on volatility forecasting
Year of publication: |
2010
|
---|---|
Authors: | Corsi, Fulvio ; Pirino, Davide ; Reno, Roberto |
Publisher: |
Pisa : Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM) |
Subject: | volatility estimation | jump detection | volatility forecasting | threshold estimation | financial markets |
Series: | LEM Working Paper Series ; 2010/11 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 640487823 [GVK] hdl:10419/89344 [Handle] RePEc:ssa:lemwps:2010/11 [RePEc] |
Classification: | G1 - General Financial Markets ; C1 - Econometric and Statistical Methods: General ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications |
Source: |
-
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting
Corsi, Fulvio, (2010)
-
Volatility forecasting: the jumps do matter
Corsi, Fulvio, (2008)
-
Volatility Forecasting: The Jumps Do Matter
Corsi, Fulvio, (2009)
- More ...
-
Volatility Forecasting: The Jumps Do Matter
Corsi, Fulvio, (2009)
-
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio, (2010)
-
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio, (2010)
- More ...