Quantile regression for long memory testing : a case of realized volatility
Uwe Hassler, Paulo M.M. Rodrigues and Antonio Rubia
| Year of publication: |
2016
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|---|---|
| Authors: | Hassler, Uwe ; Rodrigues, Paulo M. M. ; Rubia, Antonio |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 4, p. 693-724
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| Subject: | fractional integration | Lagrange multiplier | integrated variance | VIX | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Schätzung | Estimation | ARMA-Modell | ARMA model | Statistischer Test | Statistical test | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbw001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011623824