Modeling CAC40 volatility using ultra-high frequency data
Stavros Degiannakis; Christos Floros
| Year of publication: |
2013
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|---|---|
| Authors: | Degiannakis, Stavros ; Floros, Christos |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 28.2013, p. 68-81
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| Subject: | Intra-day data | Long memory | Predictability | Realized volatility | Ultra-high frequency modeling | Value-at-Risk | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Schätzung | Estimation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | 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/10009725156