Good volatility, bad volatility : signed jumps and the persistence of volatility
Year of publication: |
2015
|
---|---|
Authors: | Patton, Andrew J. ; Sheppard, Kevin |
Published in: |
The review of economics and statistics. - Cambridge, Mass. : MIT Press, ISSN 0034-6535, ZDB-ID 207962-8. - Vol. 97.2015, 3, p. 683-697
|
Subject: | Volatilität | Volatility | Aktienindex | Stock index | Aktie | Share | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | USA | United States | 1997-2008 |
-
Good Volatility, Bad Volatility : Signed Jumps and the Persistence of Volatility
Patton, Andrew J., (2013)
-
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de, (2002)
-
Forecasting the U.S. stock volatility : an aligned jump index from G7 stock markets
Ma, Feng, (2019)
- More ...
-
Evaluating Volatility and Correlation Forecasts
Sheppard, Kevin, (2008)
-
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes
Sheppard, Kevin, (2013)
-
Optimal combinations of realised volatility estimators
Patton, Andrew J., (2009)
- More ...