Modeling and forecasting realized volatilities of Korean financial assets featuring long memory and asymmetry
Soyoung Park; Dong W. Shin
| Year of publication: |
2014
|
|---|---|
| Authors: | Park, Soyoung ; Shin, Dong-wan |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 43.2014, 1, p. 31-58
|
| Subject: | Asymmetric volatility | High frequency data | Implied volatility | Long memory | Volatility forecasting | Volatility spillover | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Südkorea | South Korea | Japan | Börsenkurs | Share price | Wechselkurs | Exchange rate | Theorie | Theory | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market |
| 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://www.econbiz.de/10010348459