A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors (Q2442401): Difference between revisions
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Revision as of 22:25, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors |
scientific article |
Statements
A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors (English)
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3 April 2014
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realized volatility
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bipower variation
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jump tests
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factor models
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volatility forecasting
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model selection
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