HARK the SHARK : realized volatility modeling with measurement errors and nonlinear dependencies
Giuseppe Buccheri and Fulvio Corsi
| Year of publication: |
2021
|
|---|---|
| Authors: | Buccheri, Giuseppe ; Corsi, Fulvio |
| Subject: | ealized volatility | HAR | measurement errors | nonlinear time series | score-drivenmodels | Kalman filter | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Statistischer Fehler | Statistical error | Nichtlineare Regression | Nonlinear regression | Zustandsraummodell | State space model | Schätzung | Estimation | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbz025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012654982