Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
Umberto Triacca; Fulvia Focker
| Year of publication: |
2014
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|---|---|
| Authors: | Triacca, Umberto ; Focker, Fulvia |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 37.2014, 2, p. 235-254
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| Subject: | Dynamic factor model | Overnight volatility | Realized volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | EU-Staaten | EU countries |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010412496