A realized EGARCH-MIDAS model with higher moments
Year of publication: |
2021
|
---|---|
Authors: | Wu, Xinyu ; Xie, Haibin |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 38.2021, p. 1-11
|
Subject: | Higher moments | MIDAS | Realized EGARCH | Realized kernel | Volatility persistence | Volatilität | Volatility | Momentenmethode | Method of moments | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Schätzung | Estimation | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
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