Testing and forecasting price jumps with return moments
Fang Zhen, Xinfeng Ruan, Jin E. Zhang
| Year of publication: |
2025
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| Authors: | Zhen, Fang ; Ruan, Xinfeng ; Zhang, Jin E. |
| Published in: |
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1468-2443, ZDB-ID 2034475-2. - Vol. 25.2025, 1, Art.-No. e70002, p. 1-13
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| Subject: | cubic variation | forecasting | jumps | VIX | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Prognose | Forecast | Stochastischer Prozess | Stochastic process | Theorie | Theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/irfi.70002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015334594