Arbeitspapier
Realized Stochastic Volatility with General Asymmetry and Long Memory
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper; No. 17-038/III
Bezug (was)
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Stochastic Volatility
Realized Measure
Long Memory
Asymmetry
Whittle likelihood
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Stochastic Volatility
Realized Measure
Long Memory
Asymmetry
Whittle likelihood
Beteiligte Personen und Organisationen
Asai, Manabu
Chang, Chia-Lin
McAleer, Michael
Amsterdam and Rotterdam: Tinbergen Institute
Chang, Chia-Lin
McAleer, Michael
Amsterdam and Rotterdam: Tinbergen Institute
Erschienen
Amsterdam and Rotterdam: Tinbergen Institute
- Rechteinformation
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft
- Letzte Aktualisierung
-
18.10.2021, 08:57 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Asai, Manabu
- Chang, Chia-Lin
- McAleer, Michael
- Amsterdam and Rotterdam: Tinbergen Institute
Entstanden
- Amsterdam and Rotterdam: Tinbergen Institute
Ähnliche Objekte (12)
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Forecasting the Volatility of Nikkei 225 Futures
A Simple Test for Causality in Volatility
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
Asymmetry and Leverage in Conditional Volatility Models
The Fiction of Full BEKK
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
The Fundamental Equation in Tourism Finance
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?
Realized Volatility Risk
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Forecasting the Volatility of Nikkei 225 Futures
A Simple Test for Causality in Volatility
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
Asymmetry and Leverage in Conditional Volatility Models
The Fiction of Full BEKK
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
The Fundamental Equation in Tourism Finance
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?
Realized Volatility Risk
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Forecasting the Volatility of Nikkei 225 Futures
A Simple Test for Causality in Volatility
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
Asymmetry and Leverage in Conditional Volatility Models
The Fiction of Full BEKK
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
The Fundamental Equation in Tourism Finance
Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?
Realized Volatility Risk
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics