Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components (Q3065547): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1002/for.1156 / rank | |||
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| Property / OpenAlex ID: W2120272320 / rank | |||
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| Property / cites work: Modeling and Forecasting Realized Volatility / rank | |||
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| Property / cites work: Long memory and regime switching / rank | |||
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| Property / cites work: Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes / rank | |||
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| Property / cites work: Q4779827 / rank | |||
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Latest revision as of 15:24, 3 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components |
scientific article |
Statements
Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components (English)
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6 January 2011
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intraday periodicity
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time-varying cyclical components
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volatility forecasts
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volatility persistence
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