Forecasting the return distribution using high-frequency volatility measures
Jian Hua; Sebastiano Manzan
| Year of publication: |
2013
|
|---|---|
| Authors: | Hua, Jian ; Manzan, Sebastiano |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 11, p. 4381-4403
|
| Subject: | Realized volatility | Quantile regression | Density forecast | Value-at-risk | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Regressionsanalyse | Regression analysis | Schätzung | Estimation | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Prognose | Forecast |
| 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://www.econbiz.de/10010247031