Volatility co-movements : a time-scale decomposition analysis
Andrea Cipollini, Iolanda Lo Cascio, Silvia Muzzioli
| Year of publication: |
December 2015
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| Authors: | Cipollini, Andrea ; Lo Cascio, Iolanda ; Muzzioli, Silvia |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 34.2015, p. 34-44
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| Subject: | Implied volatility | Realized volatility | Volatility risk premium | Contagion | Heteroskedasticity bias | Wavelets | Volatilität | Volatility | Risikoprämie | Risk premium | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | ARCH-Modell | ARCH model | Zustandsraummodell | State space model | Systematischer Fehler | Bias | Index-Futures | Index futures | Heteroskedastizität | Heteroscedasticity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.08.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011556988