Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Lily Y. Liu, Andrew J. Patton, Kevin Sheppard
| Year of publication: |
July 2015
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| Authors: | Liu, Lily Y. ; Patton, Andrew J. ; Sheppard, Kevin |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 1, p. 293-311
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| Subject: | Realized variance | Volatility forecasting | High frequency data | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Vergleich | Comparison | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011499439