Volatility analysis with realized GARCH-Itô models
Xinyu Song, Donggyu Kim, Huiling Yuan, Xiangyu Cui, Zhiping Lu, Yong Zhou, Yazhen Wang
| Year of publication: |
2021
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|---|---|
| Authors: | Song, Xinyu ; Kim, Donggyu ; Yuan, Huiling ; Cui, Xiangyu ; Lu, Zhiping ; Zhou, Yong ; Wang, Yazhen |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,2, p. 393-410
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| Subject: | High-frequency financial data | Option data | Quasi-maximum likelihood estimation | Stochastic differential equation | Volatility estimation and prediction | Volatilität | Volatility | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Analysis | Mathematical analysis | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.07.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619433