Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data
B. J. Christensen and M. Ørregaard Nielsen
| Year of publication: |
Aug. 2001 ; [Elektronische Resource]
|
|---|---|
| Other Persons: | Christensen, Bent Jesper (contributor) ; Ørregaard Nielsen, Morten (contributor) |
| Institutions: | Centre for Analytical Finance <Århus> (contributor) |
| Publisher: |
Aarhus : Centre for Analytical Finance, Univ. of Aarhus, Aarhus School of Business |
| Subject: | Kointegration | Cointegration | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
