ASYMMETRIES, BREAKS, AND LONG-RANGE DEPENDENCE: AN ESTIMATION FRAMEWORK FOR TIME SERIES OF DAILY REALIZED VOLATILITY ERIC HILLEBRAND AND MARCELO C. MEDEIROS A BSTRACT. We study the simultaneous occurrence of long memory

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Date: 2011-09-21 09:16:13 Statistics Autoregressive conditional heteroskedasticity Volatility Stochastic volatility Realized kernel Realized variance Mathematical finance Financial economics Finance		ASYMMETRIES, BREAKS, AND LONG-RANGE DEPENDENCE: AN ESTIMATION FRAMEWORK FOR TIME SERIES OF DAILY REALIZED VOLATILITY ERIC HILLEBRAND AND MARCELO C. MEDEIROS A BSTRACT. We study the simultaneous occurrence of long memory Add to Reading List Source URL: creates.au.dk Download Document from Source Website File Size: 1,21 MB Share Document on Facebook

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