Estimating persistence in the volatility of asset returns with signal plus noise models
Guglielmo Maria Caporale and Luis A. Gil-Alana
| Year of publication: |
2012
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|---|---|
| Authors: | Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. |
| Published in: |
International journal of finance & economics : IJFE. - Chichester, Sussex : Wiley, ISSN 1076-9307, ZDB-ID 1324693-8. - Vol. 17.2012, 1, p. 23-30
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| Subject: | Fractional integration | long memory | stochastic volatility | asset returns | Volatilität | Volatility | Kapitaleinkommen | Capital income | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading |
| 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/10009507857