Forecasting the realized volatility : the role of jumps
Zhichao Liu, Feng Ma, Xunxiao Wang and Zean Xia
| Year of publication: |
August 2016
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|---|---|
| Authors: | Liu, Zhichao ; Ma, Feng ; Wang, Xunxiao ; Xia, Zean |
| Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 23.2016, 10/12, p. 736-739
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| Subject: | Realized volatility | HAR-RV model | ABD-LM jump test | MCS | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2015.1105911 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011628475