The role of jumps and leverage in forecasting volatility in international equity markets
Daniel Buncic, Katja I.M. Gisler
| Year of publication: |
December 2017
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|---|---|
| Authors: | Buncic, Daniel ; Gisler, Katja Ida Maria |
| Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 79.2017, p. 1-19
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| Subject: | Realized volatility | Jumps | The leverage effect | HAR modelling and forecasting | International equity markets | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Schätzung | Estimation | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Theorie | Theory | Deutschland | Germany | Japan | Welt | World | Internationaler Finanzmarkt | International financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jimonfin.2017.09.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011788346