Semiparametric density forecasts of daily financial returns from intraday data
Mark Hallam; Jose Olmo
| Year of publication: |
2014
|
|---|---|
| Authors: | Hallam, Mark ; Olmo, Jose |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 12.2014, 2, p. 408-432
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| Subject: | density forecasting | unifractal | high-frequency data | semiparametric | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Börsenkurs | Share price | Volatilität | Volatility |
| 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/10010351542