Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
Year of publication: |
2011-09
|
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Authors: | Audrino, Francesco ; Hu, Yujia |
Institutions: | School of Economics and Political Science, Universität St. Gallen |
Subject: | High frequency data | Realized volatility forecasting | Downside risk | Leverage effect |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 1138 38 pages |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; c58 |
Source: |
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