Co-jumps, co-jump tests, and volatility forecasting : Monte Carlo and empirical evidence
Year of publication: |
2022
|
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Authors: | Peng, Weijia ; Yao, Chun |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 15.2022, 8, Art.-No. 334, p. 1-21
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Subject: | high-frequency data | co-jump tests | co-jumps | heterogeneous autoregressive model | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm15080334 [DOI] hdl:10419/274856 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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