Asymmetric effects and long memory in the volatility of Dow Jones stocks
Author:
Publisher
Elsevier BV
Subject
Business and International Management
Reference52 articles.
1. Andersen, T., Bollerslev, T., & Diebold, F. X. (2005). Roughing it up: Including jump components in the measurement modeling and forecasting of return volatility. NBER working papers 11775. National Bureau of Economic Research
2. Correcting the errors: A note on volatility forecast evaluation based on high-frequency data and realized volatilities;Andersen;Econometrica,2005
3. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001
4. Modeling and forecasting realized volatility;Andersen;Econometrica,2003
5. A bias-reduced log-periodogram regression estimator of the long memory parameter;Andrews;Econometrica,2003
Cited by 44 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Economic Value of Prediction of Return Distribution;Ekonomi, Politika & Finans Araştırmaları Dergisi;2023-03-31
2. Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility;Empirical Economics;2023-03-17
3. Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019);SN Business & Economics;2022-11-09
4. Trading volume and realized volatility forecasting: Evidence from the China stock market;Journal of Forecasting;2022-08-02
5. Social media sentiment, model uncertainty, and volatility forecasting;Economic Modelling;2021-09
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3