Overnight GARCH-Itô volatility models
Donggyu Kim, Minseok Shin, and Yazhen Wang
| Year of publication: |
2023
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|---|---|
| Authors: | Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 4, p. 1215-1227
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| Subject: | High-frequency financial data | Low-frequency financial data | Quasi-maximum likelihood estimation | Stochastic differential equation | Volatility estimation and prediction | Volatilität | Volatility | Börsenkurs | Share price | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2022.2116027 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014448607