Long memory and periodicity in intraday volatility
Eduardo Rossi and Dean Fantazzini
| Year of publication: |
2015
|
|---|---|
| Authors: | Rossi, Eduardo ; Fantazzini, Dean |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 4, p. 922-961
|
| Subject: | intraday volatility | long memory | FI-PEGARCH | SFI-PEGARCH | periodic models | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbu006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011417840