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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 b...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2016
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5097780/ https://www.ncbi.nlm.nih.gov/pubmed/27872795 http://dx.doi.org/10.1186/s40064-016-3465-x |