Realized volatility forecasting in the presence of time-varying noise
Federico M. Bandi; Jeffrey R. Russell; Chen Yang
| Year of publication: |
2013
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|---|---|
| Authors: | Bandi, Federico M. ; Russell, Jeffrey R. ; Yang, Chen |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 31.2013, 3, p. 331-345
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| Subject: | Realized variance | Time-varying market microstructure noise | Volatility forecasting | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Prognoseverfahren | Forecasting model | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009785979