Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005
for non–Gaussian innovations and, instead, suggest
the use of the more flexible normal inverse Gaussian distribution …22, C51, C52, C53
Keywords: Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse
Gaussian … to better point and interval forecasts. Moreover, the additional specification of the
normal inverse Gaussian …