A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
Alev Atak; George Kapetanios
| Year of publication: |
2013
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|---|---|
| Authors: | Atak, Alev ; Kapetanios, George |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 120.2013, 2, p. 224-228
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| Subject: | Realized volatility | Bipower variation | Jump tests | Factor models | Volatility forecasting | Model selection | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | CAPM | Korrelation | Correlation | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Börsenkurs | Share price | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010128339