Forecasting intra-day return volatility using ultra-high-frequency GARCH : does the duration model matter?

Forecasting intra-day return volatility using ultra-high-frequency GARCH does the duration model matter?

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Bibliographische Detailangaben
Veröffentlicht in:Econometric studies
1. Verfasser: Hujer, Reinhard (VerfasserIn)
Weitere Verfasser: Grammig, Joachim (VerfasserIn)
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Sprache:eng
Veröffentlicht: 2001
Schlagworte:
Kapitaleinkommen > Börsenkurs > Volatilität > Prognoseverfahren > ARCH-Modell > Schätzung > Theorie > Deutschland > Statistische Bestandsanalyse > Aufsatz im Buch
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