Forecasting intra-day return volatility using ultra-high-frequency GARCH : does the duration model matter?
Reinhard Hujer and Joachim Grammig
| Year of publication: |
2001
|
|---|---|
| Authors: | Hujer, Reinhard ; Grammig, Joachim |
| Subject: | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation | Theorie | Theory | Deutschland | Germany | Statistische Bestandsanalyse | Duration analysis |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Notes: | In: Econometric studies |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014553638