Measuring and modeling risk using high-frequency data
Year of publication: |
2008
|
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Authors: | Härdle, Wolfgang Karl ; Hautsch, Nikolaus ; Pigorsch, Uta |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Finanzmarkt | Volatilität | Messung | Beta-Faktor | Zeitreihenanalyse | Ökonometrisches Modell | Schätzung | Börsenumsatz | Mikrostrukturanalyse | USA | Realized volatility | realized betas | volatility modeling |
Series: | SFB 649 Discussion Paper ; 2008,045 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 571753795 [GVK] hdl:10419/25285 [Handle] |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications |
Source: |
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