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~subject:"long memory"
~subject:"Welt"
~institution:"Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro"
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long memory
Welt
Realized volatility
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nonlinear models
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persistence
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smooth transitions
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structural breaks
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HILLEBRAND, ERIC
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Medeiros, MArcelo Cunha
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Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
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Department of Economics and Business, Universitat Pompeu Fabra
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Department of Economics, Boston College
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Department of Economics, University of California-San Diego (UCSD)
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Economics Department, Queen's University
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility
HILLEBRAND, ERIC
;
Medeiros, MArcelo Cunha
-
Departamento de Economia, Pontifícia Universidade …
-
2010
We study the simultaneous occurrence of long memory and nonlinear effects, such as
structural
breaks
and thresholds, in …
Persistent link: https://www.econbiz.de/10008682902
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