Doubly multiplicative error models with long- and short-run components
A. Amendola, V. Candila, F. Cipollini, G. M. Gallo
| Year of publication: |
2024
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|---|---|
| Authors: | Amendola, Adalgiso ; Candila, V. ; Cipollini, F. ; Gallo, Giampiero M. |
| Published in: |
Socio-economic planning sciences : the international journal of public sector decision-making. - Amsterdam [u.a.] : Elsevier Science, ISSN 0038-0121, ZDB-ID 1491145-0. - Vol. 91.2024, p. 1-15
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| Subject: | Financial markets | GARCH | HAR | MIDAS | Multiplicative error model | Realized volatility | Volatilität | Volatility | Kointegration | Cointegration | Theorie | Theory | Finanzmarkt | Financial market | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.seps.2023.101764 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014528556