The impact of jumps and leverage in forecasting covolatility
Manabu Asai and Michael McAleer
| Year of publication: |
2017
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|---|---|
| Authors: | Asai, Manabu ; McAleer, Michael |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 36.2017, 6/9, p. 638-650
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| Subject: | Covolatility | forecasting | jump | leverage effects | realized covariance | threshold estimation | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Schätzung | Estimation | Korrelation | Correlation | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2017.1307326 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011795307