Matches in SemOpenAlex for { <https://semopenalex.org/work/W3125742885> ?p ?o ?g. }
Showing items 1 to 85 of
85
with 100 items per page.
- W3125742885 abstract "We propose a new discrete-time model of returns in which jumps capture persistence in the conditional variance and higher-order moments. Jump arrival is governed by a heterogeneous Poisson process. The intensity is directed by a latent stochastic autoregressive process, while the jump-size distribution allows for conditional heteroskedasticity. Model evaluation focuses on the dynamics of the conditional distribution of returns using density and variance forecasts. Predictive likelihoods provide a period-by-period comparison of the performance of our heterogeneous jump model relative to conventional SV and GARCH models. Further, in contrast to previous studies on the importance of jumps, we utilize realized volatility to assess out-of-sample variance forecasts." @default.
- W3125742885 created "2021-02-01" @default.
- W3125742885 creator A5029338054 @default.
- W3125742885 creator A5046414547 @default.
- W3125742885 date "2007-02-02" @default.
- W3125742885 modified "2023-09-27" @default.
- W3125742885 title "Modeling foreign exchange rates with jumps" @default.
- W3125742885 hasPublicationYear "2007" @default.
- W3125742885 type Work @default.
- W3125742885 sameAs 3125742885 @default.
- W3125742885 citedByCount "5" @default.
- W3125742885 countsByYear W31257428852014 @default.
- W3125742885 countsByYear W31257428852019 @default.
- W3125742885 crossrefType "posted-content" @default.
- W3125742885 hasAuthorship W3125742885A5029338054 @default.
- W3125742885 hasAuthorship W3125742885A5046414547 @default.
- W3125742885 hasConcept C100906024 @default.
- W3125742885 hasConcept C101104100 @default.
- W3125742885 hasConcept C105795698 @default.
- W3125742885 hasConcept C121332964 @default.
- W3125742885 hasConcept C121955636 @default.
- W3125742885 hasConcept C149782125 @default.
- W3125742885 hasConcept C154945302 @default.
- W3125742885 hasConcept C159877910 @default.
- W3125742885 hasConcept C162324750 @default.
- W3125742885 hasConcept C196083921 @default.
- W3125742885 hasConcept C197640229 @default.
- W3125742885 hasConcept C21430997 @default.
- W3125742885 hasConcept C23922673 @default.
- W3125742885 hasConcept C2776502983 @default.
- W3125742885 hasConcept C2780695682 @default.
- W3125742885 hasConcept C33923547 @default.
- W3125742885 hasConcept C41008148 @default.
- W3125742885 hasConcept C43555835 @default.
- W3125742885 hasConcept C62520636 @default.
- W3125742885 hasConcept C85393063 @default.
- W3125742885 hasConcept C91602232 @default.
- W3125742885 hasConceptScore W3125742885C100906024 @default.
- W3125742885 hasConceptScore W3125742885C101104100 @default.
- W3125742885 hasConceptScore W3125742885C105795698 @default.
- W3125742885 hasConceptScore W3125742885C121332964 @default.
- W3125742885 hasConceptScore W3125742885C121955636 @default.
- W3125742885 hasConceptScore W3125742885C149782125 @default.
- W3125742885 hasConceptScore W3125742885C154945302 @default.
- W3125742885 hasConceptScore W3125742885C159877910 @default.
- W3125742885 hasConceptScore W3125742885C162324750 @default.
- W3125742885 hasConceptScore W3125742885C196083921 @default.
- W3125742885 hasConceptScore W3125742885C197640229 @default.
- W3125742885 hasConceptScore W3125742885C21430997 @default.
- W3125742885 hasConceptScore W3125742885C23922673 @default.
- W3125742885 hasConceptScore W3125742885C2776502983 @default.
- W3125742885 hasConceptScore W3125742885C2780695682 @default.
- W3125742885 hasConceptScore W3125742885C33923547 @default.
- W3125742885 hasConceptScore W3125742885C41008148 @default.
- W3125742885 hasConceptScore W3125742885C43555835 @default.
- W3125742885 hasConceptScore W3125742885C62520636 @default.
- W3125742885 hasConceptScore W3125742885C85393063 @default.
- W3125742885 hasConceptScore W3125742885C91602232 @default.
- W3125742885 hasLocation W31257428851 @default.
- W3125742885 hasOpenAccess W3125742885 @default.
- W3125742885 hasPrimaryLocation W31257428851 @default.
- W3125742885 hasRelatedWork W1540503425 @default.
- W3125742885 hasRelatedWork W1702565479 @default.
- W3125742885 hasRelatedWork W2053684238 @default.
- W3125742885 hasRelatedWork W2103964423 @default.
- W3125742885 hasRelatedWork W2115715269 @default.
- W3125742885 hasRelatedWork W2134570116 @default.
- W3125742885 hasRelatedWork W2141066443 @default.
- W3125742885 hasRelatedWork W2170158161 @default.
- W3125742885 hasRelatedWork W2341168382 @default.
- W3125742885 hasRelatedWork W2479702789 @default.
- W3125742885 hasRelatedWork W2885577272 @default.
- W3125742885 hasRelatedWork W2892337202 @default.
- W3125742885 hasRelatedWork W2912012174 @default.
- W3125742885 hasRelatedWork W3091465761 @default.
- W3125742885 hasRelatedWork W3113166639 @default.
- W3125742885 hasRelatedWork W3121239032 @default.
- W3125742885 hasRelatedWork W3121998500 @default.
- W3125742885 hasRelatedWork W3122483462 @default.
- W3125742885 hasRelatedWork W3123134761 @default.
- W3125742885 hasRelatedWork W3123985281 @default.
- W3125742885 isParatext "false" @default.
- W3125742885 isRetracted "false" @default.
- W3125742885 magId "3125742885" @default.
- W3125742885 workType "article" @default.