The contribution of intraday jumps to forecasting the density of returns
Christophe Chorro, Florian Ielpo, Benoît Sévi
| Year of publication: |
2020
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|---|---|
| Authors: | Chorro, Christophe ; Ielpo, Florian ; Sévi, Benoît |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 113.2020, p. 1-24
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| Subject: | Density forecasting | Jumps | Leverage effect | Median realized volatility | Realized volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2020.103853 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012502523