An econometric analysis of volatility discovery
Gustavo Fruet Dias, Fotis Papailias, and Cristina Scherrer
| Year of publication: |
2024
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|---|---|
| Authors: | Dias, Gustavo Fruet ; Papailias, Fotis ; Scherrer, Cristina |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 3, p. 1095-1106
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| Subject: | Double asymptotics | Fractionally cointegrated vector autoregressive model | High-frequency data | Long memory | Market microstructure | Price discovery | Realized measures | Volatilität | Volatility | Marktmikrostruktur | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | VAR-Modell | VAR model | Börsenkurs | Share price | Schätzung | Estimation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2023.2292178 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015053535