Modeling long memory volatility using realized measures of volatility : a realized HAR GARCH model
Year of publication: |
January 2016
|
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Authors: | Huang, Zhuo ; Liu, Hao ; Wang, Tianyi |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 52.2016, part B, p. 812-821
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Subject: | Realized GARCH | HAR | Long memory | Realized kernel | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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