Zobrazeno 1 - 4
of 4
pro vyhledávání: '"volatility threshold"'
Publikováno v:
Investment Management & Financial Innovations, Vol 16, Iss 4, Pp 146-155 (2019)
This study investigates the volatility and co-movement of gold prices across Tokyo, London, and New York gold markets. Using a dynamic conditional correlation (DCC) model, the authors estimate the cross-correlation and volatility of gold in each pair
Externí odkaz:
https://doaj.org/article/75759fd989de4d898c410aa22fcf7ad6
Autor:
Aleksey Kolokolov, Roberto Renò
Publikováno v:
Kolokolov, A & Renò, R 2018, ' Efficient multipowers ', Journal of Financial Econometrics, vol. 16, no. 4, pp. 629-659 . https://doi.org/10.1093/jjfinec/nbx018
Multipower estimators, widespread for their robustness to the presence of jumps, are also useful for reducing the estimation error of integrated volatility powers even in the absence of jumps. Optimizing linear combinations of multipowers can indeed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b72cd0185fb4275552ba50a8f8a974c2
https://www.research.manchester.ac.uk/portal/en/publications/efficient-multipowers(2a76cdb0-6b04-48d8-81d0-613e83b072be).html
https://www.research.manchester.ac.uk/portal/en/publications/efficient-multipowers(2a76cdb0-6b04-48d8-81d0-613e83b072be).html
Autor:
Asai, M., McAleer, M.J.
The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the le
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::30a6c1da4d8143ecffa16430fb2a373c
https://repub.eur.nl/pub/21730/EI2010-69.pdf
https://repub.eur.nl/pub/21730/EI2010-69.pdf
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.