Estimating persistence in the volatility of asset returns with signal plus noise models
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 | Signalling |
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