Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Faisal Nazir Zargar, Dilip Kumar
| Year of publication: |
2020
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|---|---|
| Authors: | Zargar, Faisal Nazir ; Kumar, Dilip |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 67.2020, p. 25-41
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| Subject: | Forecast evaluation | Heterogeneity | Jumps | The AddRS estimator | Volatility modeling | Volatilität | Volatility | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Schätzung | Estimation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2019.12.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012440181