A latent factor model for forecasting realized variances
Giorgio Calzolari, Roxana Halbleib, and Aygul Zagidullina
| Year of publication: |
2021
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|---|---|
| Authors: | Calzolari, Giorgio ; Halbleib, Roxana ; Zagidullina, Aygul |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 5, p. 860-909
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| Subject: | realized variance | hyperbolic decay | autocorrelation | dynamic factor model | factor-GARCH model | efficient method of moments | Kalman filter | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Schätzung | Estimation | Zustandsraummodell | State space model | Prognoseverfahren | Forecasting model | Momentenmethode | Method of moments | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Autokorrelation | Autocorrelation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbz036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012799052