Level changes in volatility models (Q470520)
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scientific article; zbMATH DE number 6368838
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Level changes in volatility models |
scientific article; zbMATH DE number 6368838 |
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Level changes in volatility models (English)
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12 November 2014
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level shifts
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stochastic volatility
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persistence
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realized volatility
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HAR-RV
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ARMA
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VAR
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GARCH
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