A three-dimensional asymmetric power HEAVY model
Stavroula Yfanti, Georgios Chortareas, Menelaos Karanasos, Emmanouil Noikokyris
| 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 | Risikomanagement | Risk management | Kapitaleinkommen | Capital income | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2296 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013329825