Volatility jumps and their economic determinants
Year of publication: |
2016
|
---|---|
Authors: | Caporin, Massimiliano ; Rossi, Eduardo ; Santucci de Magistris, Paolo |
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, 1, p. 29-80
|
Subject: | CDS | HAR-V-J | realized range | volatility jumps | Volatilität | Volatility | Theorie | Theory | Kreditderivat | Credit derivative |
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