The economic value of volatility timing with realized jumps
Ingmar Nolte, Qi Xu
| Year of publication: |
December 2015
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|---|---|
| Authors: | Nolte, Ingmar ; Xu, Qi |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 34.2015, p. 45-59
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| Subject: | High frequency data | Jumps | Nonparametric tests | Asset allocation | Volatility forecasting | Realized volatility | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory |