Realized variance modeling : decoupling forecasting from estimation
Fabrizio Cipollini, Giampiero M. Gallo and Alessandro Palandri
| Year of publication: |
2020
|
|---|---|
| Authors: | Cipollini, Fabrizio ; Gallo, Giampiero M. ; Palandri, Alessandro |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 18.2020, 3, p. 532-555
|
| Subject: | forecast evaluation | Heterogeneous Autoregressive (HAR) model | realized variance | variance forecasting | variance modeling | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Schätzung | Estimation | Prognose | Forecast | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012316698