Modeling high-frequency volatility with three-state FIGARCH models
Yanlin Shi, Kin-Yip Ho
| Year of publication: |
December 2015
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|---|---|
| Authors: | Shi, Yanlin ; Ho, Kin-Yip |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 51.2015, p. 473-483
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| Subject: | Long memory | Structural changes | FIGARCH | Change detection | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Strukturwandel | Structural change | Theorie | Theory | Schätzung | Estimation | Börsenkurs | Share price | ARMA-Modell | ARMA model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.09.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011476127