Showing 41 - 50 of 708,618
Persistent link: https://www.econbiz.de/10009428004
Persistent link: https://www.econbiz.de/10010511565
Persistent link: https://www.econbiz.de/10010517781
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
Persistent link: https://www.econbiz.de/10011282095
Persistent link: https://www.econbiz.de/10011282864
Persistent link: https://www.econbiz.de/10011300508
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …
Persistent link: https://www.econbiz.de/10011335205
Persistent link: https://www.econbiz.de/10011342801
Persistent link: https://www.econbiz.de/10011327609