HAR Volatility and Co-Volatility Forecasting - The Importance of Overnight Returns, (Co)Jumps, and Asymmetric Effect Information
碩士 === 國立暨南國際大學 === 財務金融學系 === 103 === To obtain the whole day financial asset return variance or covariance estimators, the current research follows Blair et al. (2011), Hansen and Lunde (2005), De Pooter et al. (2008) as well as Andersen et al. (2011) by incorporating squared overnight returns or...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/2m8y53 |