Testing the lag structure of assets' realized volatility dynamics
Francesco Audrino, Lorenzo Camponovo and Constantin Roth
| Year of publication: |
2017
|
|---|---|
| Authors: | Audrino, Francesco ; Camponovo, Lorenzo ; Roth, Constantin |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 1.2017, 4, p. 363-387
|
| Subject: | realized volatility | adaptive lasso | HAR model | test for false positives | lag structure | Volatilität | Volatility | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Statistischer Test | Statistical test | Lag-Modell | Lag model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2017.4.363 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012137836