Volatility measurement with pockets of extreme return persistence
Torben G. Andersen, Yingying Li, Viktor Todorov, Bo Zhou
| Year of publication: |
2023
|
|---|---|
| Authors: | Andersen, Torben ; Li, Yingying ; Todorov, Viktor ; Zhou, Bo |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 237.2023, 2,3, p. 1-27
|
| Subject: | Extreme return persistence | High-frequency data | Integrated volatility estimation | Market microstructure noise | Volatility forecasting | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Schätzung | Estimation | Noise Trading | Noise trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.11.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014471793