Chasing volatility. A persistent multiplicative error model with jumps (Q2294516)
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scientific article; zbMATH DE number 7165971
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| default for all languages | No label defined |
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| English | Chasing volatility. A persistent multiplicative error model with jumps |
scientific article; zbMATH DE number 7165971 |
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Chasing volatility. A persistent multiplicative error model with jumps (English)
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11 February 2020
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multiplicative error model
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volatility jumps
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bipower variation
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volatility-at-risk
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0.7668454647064209
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0.7641559839248657
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0.7612935900688171
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0.7602393627166748
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