Conditional jumps in volatility and their economic determinants
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Caporin, Massimiliano & Velo, Gabriel G., 2015. "Realized range volatility forecasting: Dynamic features and predictive variables," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 98-112.
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[Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, University of Economics, Prague, vol. 2016(2), pages 127-144.
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More about this item
KeywordsVolatility; Jumps in volatility; Realized range; HAR.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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