Exponential GARCH modeling with realized measures of volatility
Year of publication: |
April 2016
|
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Authors: | Hansen, Peter Reinhard ; Huang, Zhuo |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 2, p. 269-287
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Subject: | EGARCH | High-frequency data | Leverage effect | Realized variance | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
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