Jump volatility estimates of high frequency data and analysis based on HHT
Jiangrui Chen; Lianqian Yin; Sizhe Hou; Wei Zhang; Xiaojie Liu ...
| Year of publication: |
2015
|
|---|---|
| Authors: | Chen, Jiangrui ; Yin, Lianqian ; Hou, Sizhe ; Zhang, Wei ; Liu, Xiaojie |
| Published in: |
International journal of economics and finance. - Toronto, ISSN 1916-971X, ZDB-ID 2531850-0. - Vol. 7.2015, 11, p. 242-249
|
| Subject: | capital asset pricing model | realized leap volatility | hilbert huang transform | Volatilität | Volatility | CAPM | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Schätzung | Estimation | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011401479