A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183)
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scientific article; zbMATH DE number 6600708
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| English | A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects |
scientific article; zbMATH DE number 6600708 |
Statements
A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (English)
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4 July 2016
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realized volatility
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bipower variation
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jumps
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leverage effect
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simultaneous equation model
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0.8248649835586548
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0.8028804659843445
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0.7882160544395447
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0.7873884439468384
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