A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Xinyu Wu, Michelle Xia and Huanming Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Wu, Xinyu ; Xia, Michelle ; Zhang, Huanming |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 24.2022, 6, p. 61-92
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| Subject: | realized exponential generalized autoregressive conditional heteroscedasticity (E-GARCH) | long memory | volatility components | leverage effect | realized kernel | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Aktienindex | Stock index | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2022.036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013549674