Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martin Martens; Dick van Dijk; Michiel de Pooter
| Year of publication: |
2009
|
|---|---|
| Authors: | Martens, Martin ; Dijk, Dick van ; Pooter, Michiel de |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 25.2009, 2, p. 282-303
|
| Subject: | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Ankündigungseffekt | Announcement effect | Saisonale Schwankungen | Seasonal variations | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Theorie | Theory |
| 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://ebvufind01.dmz1.zbw.eu/10003870055