Forecasting the variance of stock index returns using jumps and cojumps
Adam Clements, Yin Liao
| Year of publication: |
July-September 2017
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|---|---|
| Authors: | Clements, Ada ; Liao, Yin |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 33.2017, 3, p. 729-742
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| Subject: | Realized variance | Jumps | Cojumps | Point process | Hawkes process | Forecasting | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Varianzanalyse | Analysis of variance | Theorie | Theory | Prognose | Forecast | Börsenkurs | Share price | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2017.01.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011746201