EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"High-Frequency Options Data"
Narrow search

Narrow search

Subject
All
High-Frequency Options Data 1 Long Memory 1 Realized Volatility 1 Semiparametric Inference 1 Stationary Fractional Cointegration 1
Online availability
All
Free 1
Type of publication
All
Book / Working Paper 1
Language
All
English 1
Author
All
Christensen, Bent Jesper 1 Nielsen, Morten Ø. 1
Institution
All
School of Economics and Management, University of Aarhus 1
Published in...
All
Economics Working Papers / School of Economics and Management, University of Aarhus 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Cover Image
Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data
Christensen, Bent Jesper; Nielsen, Morten Ø. - School of Economics and Management, University of Aarhus
We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration. This concept allows derivation of useful long-run relations even among stationary long memory processes. The approach uses a degenerating part of the periodogram...
Persistent link: https://www.econbiz.de/10005114057
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...