Showing 1 - 10 of 2,244
Persistent link: https://www.econbiz.de/10011987354
Persistent link: https://www.econbiz.de/10011560365
Persistent link: https://www.econbiz.de/10011785481
Persistent link: https://www.econbiz.de/10009612374
Persistent link: https://www.econbiz.de/10012482936
We propose a new score-driven model to capture the time-varying volatility and tail behavior of realized kernels. We assume realized kernels follow an F distribution with two time-varying degrees-of-freedom parameters, accounting for the Vol-of-Vol and the tail shape of the realized kernel...
Persistent link: https://www.econbiz.de/10012053572
Persistent link: https://www.econbiz.de/10011691311
Persistent link: https://www.econbiz.de/10011783170
Persistent link: https://www.econbiz.de/10014448453
Persistent link: https://www.econbiz.de/10010418124