Angaben zur Quelle [Bearbeiten]
Autor | Eric Zivot |
Titel | Analysis of High Frequency Financial Data: Models, Methods and Software. Part II: Modeling and Forecasting Realized Variance Measures. |
Datum | 4. July 2005 |
URL | http://faculty.washington.edu/ezivot/research/realizedvariance.pdf |
Literaturverz. |
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Fußnoten | nein |
Fragmente | 2 |
Fragmente der Quelle:
[1.] Rh/Fragment 004 09 - Diskussion Zuletzt bearbeitet: 2012-07-30 23:18:25 Hindemith | Fragment, Gesichtet, KomplettPlagiat, Rh, SMWFragment, Schutzlevel sysop, Zivot 2005 |
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Untersuchte Arbeit: Seite: 4, Zeilen: 9-11 |
Quelle: Zivot_2005 Seite(n): 1, Zeilen: 15-16 |
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In these models volatility is usually extracted from daily squared returns, which are unbiased but noisy estimates of daily conditional volatility. | In these models volatility is usually extracted from daily squared returns, which are unbiased but noisy estimates of daily conditional volatility |
Sehr kurz, aber eindeutig übernommen. Siehe auch Rh/Fragment 085 12 |
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[2.] Rh/Fragment 085 12 - Diskussion Zuletzt bearbeitet: 2012-07-30 23:18:21 Hindemith | Fragment, Gesichtet, Rh, SMWFragment, Schutzlevel sysop, Verschleierung, Zivot 2005 |
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Untersuchte Arbeit: Seite: 85, Zeilen: 12-15 |
Quelle: Zivot_2005 Seite(n): 1, Zeilen: 13-16 |
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Popular parametric models for volatility include the ARCH-GARCH family (Engle (1982b)) and the stochastic volatility (SV) family (Clark (1973)). In these models volatility is usually extracted from daily squared returns, which are unbiased but noisy estimates of daily conditional volatility. | Popular parametric models for latent volatility include the ARCH-GARCH family, the stochastic volatility family, and the Markov-switching family. In these models volatility is usually extracted from daily squared returns, which are unbiased but noisy estimates of daily conditional volatility. |
Kein Quellenverweis vorhanden. Die eingebrachten Zitate scheinen auf Beispielliteratur zu verweisen, in denen diese Modelle angewendet wurden. Der zweite Satz wird noch einmal verwendet: Rh/Fragment 004 09 |
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