Time-Varying Realized GARCH Models for Tracking Measurement Error Bias in Volatility Forecasting
Year of publication: |
2020
|
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Authors: | Gerlach, Richard H. |
Other Persons: | Naimoli, Antonio (contributor) ; Storti, Giuseppe (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Statistischer Fehler | Statistical error | Prognoseverfahren | Forecasting model | Systematischer Fehler | Bias |
Extent: | 1 Online-Ressource (37 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 12, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3553270 [DOI] |
Classification: | c58 ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications |
Source: | ECONIS - Online Catalogue of the ZBW |
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