Volatility activity : specification and estimation
Viktor Todorov; George Tauchen; Iaryna Grynkiv
| Year of publication: |
2014
|
|---|---|
| Authors: | Todorov, Viktor ; Tauchen, George Eugene ; Grynkiv, Iaryna |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 178.2014, 1, p. 180-193
|
| Subject: | Asymmetric volatility activity | High-frequency data | Laplace transform | Signed power variation | Specification testing | Stochastic volatility | Volatility jumps | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Schätzung | Estimation | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010255447