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Caporin et al., 2015 - Google Patents

Volatility jumps and their economic determinants

Caporin et al., 2015

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Document ID
11630294125642154865
Author
Caporin M
Rossi E
Magistris P
Publication year
Publication venue
Journal of Financial Econometrics

External Links

Snippet

The volatility of financial returns is characterized by rapid and large increments. We propose an extension of the Heterogeneous Autoregressive model to incorporate jumps into the dynamics of the ex post volatility measures. Using the realized range measures of 36 NYSE …
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