A study on volatility spurious almost integration effect : a threshold realized GARCH approach

Dinghai Xu

Year of publication:	[2019]
Authors:	Xu, Dinghai
Publisher:	Waterloo, Ontario : Department of Economics, University of Waterloo
Subject:	Volatility Persistence \| Spurious Almost Integration \| Threshold Realized GARCH Model \| Realized Kernel \| Value at Risk \| Volatilität \| Volatility \| ARCH-Modell \| ARCH model \| Risikomaß \| Risk measure \| Schätzung \| Estimation \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory

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