Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Year of publication: |
2010
|
---|---|
Authors: | Andersen, Torben ; Bollerslev, Tim ; Frederiksen, Per ; Nielsen, Morten Ørregaard |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 25.2010, 2, p. 233-261
|
Subject: | Schätzung | Estimation | Kapitaleinkommen | Capital income | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
-
Macroeconomic variables, leverage, stock returns and stock return volatility
Marozva, Godfrey, (2017)
-
Selected techniques of detecting structural breaks in financial volatility
Stawiarski, Bartosz, (2015)
-
Modelling and forecasting volatility for BSE and NSE stock index : linear vs. nonlinear approach
Shanthi, A., (2019)
- More ...
-
Andersen, Torben, (2008)
-
Andersen, Torben G., (2010)
-
Andersen, Torben G., (2008)
- More ...