Realized stochastic volatility with general asymmetry and long memory
Manabu Asai, Chia-Lin Chang, Michael McAleer
| Year of publication: |
August 2017
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|---|---|
| Authors: | Asai, Manabu ; Chang, Chia-Lin ; McAleer, Michael |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 199.2017, 2, p. 202-213
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| Subject: | Stochastic volatility | Realized measure | Long memory | Asymmetry | Whittle likelihood | Asymptotic distribution | ARCH-Modell | ARCH model | Monte-Carlo-Simulation | Monte Carlo simulation | Kapitalmarktrendite | Capital market returns | Stochastische Volatilität | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.05.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011897674