Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Jeremias Bekierman"'
Autor:
Jeremias Bekierman, Bastian Gribisch
Publikováno v:
Journal of Financial Econometrics. 19:496-530
We propose a mixed frequency stochastic volatility (MFSV) model for the dynamics of intraday asset return volatility. In order to account for long-memory we separate stochastic daily and intraday volatility patterns by introducing a long-run componen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2044995ef9ee3ddb794991f9517ef726
https://doi.org/10.1093/jjfinec/nbz021
https://doi.org/10.1093/jjfinec/nbz021
Autor:
Jeremias Bekierman
Publikováno v:
Quantitative Finance. 19:533-543
A realized volatility measure reflecting prospect theory investors' sentiments is empirically seen to improve volatility forecast accuracy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::070ad41afc82a97777ff022c84d21fa7
https://doi.org/10.1080/14697688.2018.1520393
https://doi.org/10.1080/14697688.2018.1520393
Autor:
Hans Manner, Jeremias Bekierman
Publikováno v:
SSRN Electronic Journal.
We consider the problem of forecasting realized variance measures. These measures are highly persistent, but also noisy estimates of the underlying integrated variance. Recently, Bollerslev, Patton and Quaedvlieg (2016, Journal of Econometrics, 192,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::82062bdf392279875a0ef9f0ca4ec8be
https://doi.org/10.2139/ssrn.2812586
https://doi.org/10.2139/ssrn.2812586