Identification of volatility proxies as expectations of squared financial returns
Genaro Sucarrat
| Year of publication: |
2021
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|---|---|
| Authors: | Sucarrat, Genaro |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 4, p. 1677-1690
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| Subject: | Financial time-series econometrics | GARCH models | Realised volatility | Volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market | Schätztheorie | Estimation theory | Ökonometrie | Econometrics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2021.03.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013274330