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] |