Level changes in volatility models (Q470520)

From MaRDI portal
Revision as of 07:30, 9 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Level changes in volatility models
scientific article

    Statements

    title
    Level changes in volatility models (English)
    0 references
    author
    Mihaela Craioveanu
    0 references
    Eric Hillebrand
    0 references
    publication date
    12 November 2014
    0 references
    zbMATH Keywords
    level shifts
    0 references
    stochastic volatility
    0 references
    persistence
    0 references
    realized volatility
    0 references
    HAR-RV
    0 references
    ARMA
    0 references
    VAR
    0 references
    GARCH
    0 references
    cites work

    Identifiers

    Mathematics Subject Classification ID
    91G70
    0 references
    62P05
    0 references
    62M10
    0 references
    91B70
    0 references
    zbMATH DE Number
    6368838
    0 references
    OpenAlex ID
    W1972094427
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q470520&oldid=35421855"
    Powered by MediaWiki