A generalized heterogeneous autoregressive model using market information

Rodrigo Hizmeri, Marwan Izzeldin, Ingmar Nolte and Vasileios Pappas

Year of publication:	2022
Authors:	Hizmeri, Rodrigo ; Izzeldin, Marwan ; Nolte, Ingmar ; Pappas, Vasileios
Subject:	Microstructure noise \| Pre-averaged estimators \| Realized volatility \| Semi-covariance \| Semi-variance \| Volatility forecasting \| Volatilität \| Volatility \| Prognoseverfahren \| Forecasting model \| Marktmikrostruktur \| Market microstructure \| Schätztheorie \| Estimation theory \| Noise Trading \| Noise trading \| Zeitreihenanalyse \| Time series analysis \| Autokorrelation \| Autocorrelation \| Kapitaleinkommen \| Capital income

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/14697688.2022.2076606 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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