Similar Search Results

Realized GARCH, CBOE VIX, and the volatility risk premium

Hansen, Peter Reinhard; Huang, Zhuo; Tong, Chen; Wang, … - In: Journal of financial econometrics 22 (2024) 1, pp. 187-223

Persistent link: https://www.econbiz.de/10014526311

Does measurement error matter in volatility forecasting? : empirical evidence from the Chinese stock market

Wang, Yajing; Liang, Fang; Wang, Tianyi; Huang, Zhuo - In: Economic modelling 87 (2020), pp. 148-157

Persistent link: https://www.econbiz.de/10012416413

Revisiting the risk-return relation in the Chinese stock market : decomposition of risk premium and volatility feedback effect

Liu, Hao; Shen, Shihan; Wang, Tianyi; Huang, Zhuo - In: China economic journal : the official journal of the … 9 (2016) 2, pp. 140-153

Persistent link: https://www.econbiz.de/10011585334

Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model

Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013348237

Realized GARCH: a joint model for returns and realized measures of volatility

Hansen, Peter Reinhard; Huang, Zhuo; Shek, Howard Howan - In: Journal of applied econometrics 27 (2012) 6, pp. 877-906

Persistent link: https://www.econbiz.de/10010219741

Evaluating the accrual anomaly in the Chinese stock market with the decomposition method

Huang, Zhuo; Qiu, Zhimin; Lin, Dawei - In: China economic journal : the official journal of the … 13 (2020) 3, pp. 270-289

Persistent link: https://www.econbiz.de/10012384412

Exponential GARCH modeling with realized measures of volatility

Hansen, Peter Reinhard; Huang, Zhuo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 269-287

Persistent link: https://www.econbiz.de/10011691332

Measuring systemic risk with high-frequency data : a realized GARCH approach

Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472723

Do high-frequency data improve multivariate volatility forecasting for investors with different investment horizons?

Yu, Limin; Huang, Zhuo - 2022

Persistent link: https://www.econbiz.de/10015053841

Realized GARCH : A Joint Model of Returns and Realized Measures of Volatility

Hansen, Peter Reinhard - 2014

We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the...

Persistent link: https://www.econbiz.de/10013070404