Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005
22, C51, C52, C53
Keywords: Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse
Gaussian … Gaussian with the more flexible normal inverse Gaussian (NIG)
distribution to allow for fat–tailedness and skewness. In … to better point and interval forecasts. Moreover, the additional specification of the
normal inverse Gaussian …