Long vs. short term asymmetry in volatility and the term structure of risk
Carl Lönnbark
| Year of publication: |
November 2017
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|---|---|
| Authors: | Lönnbark, Carl |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 23.2017, p. 202-209
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| Subject: | Financial econometrics | GARCH | Memory | Risk prediction | Skewness | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Zinsstruktur | Yield curve | Risiko | Risk | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2017.06.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011808396