Forecasting volatility with time-varying leverage and volatility of volatility effects
Leopoldo Catania, Tommaso Proietti
| Year of publication: |
2020
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|---|---|
| Authors: | Catania, Leopoldo ; Proietti, Tommaso |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 4, p. 1301-1317
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| Subject: | Realized volatility | Leverage effect | Volatility of volatility | Score driven models | Volatility prediction | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätzung | Estimation | ARCH-Modell | ARCH model | Börsenkurs | Share price | Finanzmarkt | Financial market | Theorie | Theory | Kapitalstruktur | Capital structure |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: International journal of forecasting, Volume 37, issue 3 (July/September 2021), Seite 1329-1330 |
| Other identifiers: | 10.1016/j.ijforecast.2020.01.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012546666