Time‐varying parameter realized volatility models
Yudong Wang, Zhiyuan Pan and Chongfeng Wu
| Year of publication: |
August 2017
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|---|---|
| Authors: | Wang, Yudong ; Pan, Zhiyuan ; Wu, Chongfeng |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 5, p. 566-580
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| Subject: | realized volatility | time‐varying parameter | heterogeneous autoregressive realized volatility model | specification test | forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2454 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011860698