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~institution:"Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)"
~institution:"Econometric Society"
~institution:"Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam."
~subject:"High frequency data"
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High frequency data
high-frequency data
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interest rate surprises
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realized volatility
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Characteristic Function
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Compound Poisson Process
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Duration model
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Federal funds target rate
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High Frequency Data
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High-Frequency Data
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Integrated Variance
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Morimoto, Takayuki
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Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Econometric Society
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
School of Economics and Management, University of Aarhus
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School of Economics and Political Science, Universität St. Gallen
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
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Dipartimento di Economia, Università Ca' Foscari Venezia
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Vilnius University
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Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR
Morimoto, Takayuki
-
Econometric Society
-
2004
, Laplace, are well fitted to the actual
high
frequency
data
listed on the Tokyo stock exchange 1st section from 4 Jan. 2001 to …
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