A realized stochastic volatility model with box-cox transformation
Tingguo Zheng; Tao Song
| Year of publication: |
2014
|
|---|---|
| Authors: | Zheng, Tingguo ; Song, Tao |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 32.2014, 4, p. 593-605
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| Subject: | Model misspecification | Realized volatility | State space model | Stock return | Two-step estimation | Volatilität | Volatility | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Zustandsraummodell | Stochastischer Prozess | Stochastic process | Modellierung | Scientific modelling | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10010488412