Causality effects in return volatility measures with random times
Eric Renault; Bas J. M. Werker
| Year of publication: |
2010
|
|---|---|
| Authors: | Renault, Eric ; Werker, Bas J. M. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 160.2011, 1, p. 272-279
|
| Subject: | Volatilität | Volatility | Kausalanalyse | Causality analysis | Kapitaleinkommen | Capital income | Theorie | Theory | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price |
Früher u.d.T.:
Renault, Eric: Stochastic volatility models with transaction time risk
Persistent link: https://www.econbiz.de/10009242519