Smooth and abrupt dynamics in financial volatility : the MS-MEM-MIDAS
Luca Scaffidi Domianello, Giampiero M. Gallo, Edoardo Otranto
| Year of publication: |
dicembre 2022 ; Prima edizione
|
|---|---|
| Authors: | Scaffidi Domianello, Luca ; Gallo, Giampiero M. ; Otranto, Edoardo |
| Publisher: |
Cagliari : Arkadia |
| Subject: | Short– and Long–Run Components | realized volatility | Multiplicative Error Model | MIDAS | markov switching | Volatilität | Volatility | Theorie | Theory | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
freely available
| Extent: | 1 Online-Ressource (circa 26 Seiten) Illustrationen |
|---|---|
| Series: | Working papers. - Cagliari : CRENOS, ZDB-ID 3011972-8. - Vol. 2022, 05 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| ISBN: | 978-88-6851-437-2 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014261237