Revisiting the puzzle of jumps in volatility forecasting : the new insights of high-frequency jump intensity
Hui Qu, Tianyang Wang, Peng Shangguan, Mengying He
| Year of publication: |
2024
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|---|---|
| Authors: | Qu, Hui ; Wang, Tianyang ; Shangguan, Peng ; He, Mengying |
| Subject: | HAR model | high-frequency data | jump intensity | marked Hawkes process | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Theorie | Theory | Börsenkurs | Share price | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22468 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014475461