Forecasting realized variance measures using time-varying coefficient models
Jeremias Bekierman, Hans Manner
| Year of publication: |
2018
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|---|---|
| Authors: | Bekierman, Jeremias ; Manner, Hans |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 34.2018, 2, p. 276-287
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| Subject: | Volatility forecasting | Realized volatility | Measurement error | State space model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zustandsraummodell | Statistischer Fehler | Statistical error | Theorie | Theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: Volume 37, issue 3 (July/September 2021), Seite 1304-1305 |
| Other identifiers: | 10.1016/j.ijforecast.2017.12.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012030902