Volatility puzzle : long memory or antipersistency
Shuping Shi, Jun Yu
| Year of publication: |
2023
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|---|---|
| Authors: | Shi, Shuping ; Yu, Jun |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 69.2023, 7, p. 3861-3883
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| Subject: | fractional integration | long memory | realized volatility | roughness | short-run dynamics | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Theorie | Theory | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2022.4552 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014338293