Forecasting realized volatility : new evidence from time-varying jumps in VIX
Anupam Dutta, Debojyoti Das
| Year of publication: |
2022
|
|---|---|
| Authors: | Dutta, Anupam ; Das, Debojyoti |
| Subject: | VIX | HAR model | jump intensity | jump size | volatility forecasts | volatility jumps | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | ARCH-Modell | ARCH model | Aktienindex | Stock index | Schätzung | Estimation | Kapitaleinkommen | Capital income |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22372 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013465875