Localized Realized Volatility Modelling
Year of publication: |
2009-01
|
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Authors: | Chen, Ying ; Härdle, Wolfgang ; Pigorsch, Uta |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Localized Autoregressive Modeling | Realized Volatility | Adaptive Procedure |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2009-003 30 pages |
Classification: | G17 - Financial Forecasting ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C51 - Model Construction and Estimation |
Source: |
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