A three-dimensional asymmetric power HEAVY model
Year of publication: |
2022
|
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Authors: | Yfanti, Stavroula ; Chortareas, Georgios E. ; Karanasos, Menelaos ; Noikokyris, Emmanouil |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 3, p. 2737-2761
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Subject: | asymmetries | HEAVY model | high-frequency data | power transformations | realized volatility | risk management | Volatilität | Volatility | Kapitaleinkommen | Capital income | Risikomanagement | Risk management | Prognoseverfahren | Forecasting model | Theorie | Theory |
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