Quantile regression for long memory testing : a case of realized volatility
Year of publication: |
2016
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Authors: | Hassler, Uwe ; Rodrigues, Paulo M. M. ; Rubia, Antonio |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 4, p. 693-724
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Subject: | fractional integration | Lagrange multiplier | integrated variance | VIX | Schätzung | Estimation | Volatilität | Volatility | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
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