Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Shaoyu Li, Tingguo Zheng
| Year of publication: |
April 2017
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|---|---|
| Authors: | Li, Shaoyu ; Zheng, Tingguo |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 40.2017, p. 200-221
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| Subject: | Realized volatility measures | Spot rate models | Market microstructure noise | Jump | Nonparametric specification tests | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Theorie | Theory | Stochastischer Prozess | Stochastic process | Nichtparametrisches Verfahren | Nonparametric statistics | Monte-Carlo-Simulation | Monte Carlo simulation | Kapitaleinkommen | Capital income | Modellierung | Scientific modelling | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2017.03.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011878816