Heterogeneous autoregressive model with structural break using nearest neighbor truncation volatility estimators for DAX
نویسندگان
چکیده
منابع مشابه
Heterogeneous autoregressive model with structural break using nearest neighbor truncation volatility estimators for DAX
High frequency financial data modelling has become one of the important research areas in the field of financial econometrics. However, the possible structural break in volatile financial time series often trigger inconsistency issue in volatility estimation. In this study, we propose a structural break heavy-tailed heterogeneous autoregressive (HAR) volatility econometric model with the enhanc...
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ژورنال
عنوان ژورنال: SpringerPlus
سال: 2016
ISSN: 2193-1801
DOI: 10.1186/s40064-016-3465-x