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Exponential GARCH Modeling with Realized Measures of Volatility

Hansen, Peter Reinhard - 2018

We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...

Persistent link: https://www.econbiz.de/10012919210

Exponential GARCH modeling with realized measures of volatility

Hansen, Peter Reinhard; Huang, Zhuo - 2012

Persistent link: https://www.econbiz.de/10009764678

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

Option pricing with the realized GARCH model : an analytical approximation approach

Huang, Zhuo; Wang, Tianyi; Hansen, Peter Reinhard - In: The journal of futures markets 37 (2017) 4, pp. 328-358

Persistent link: https://www.econbiz.de/10011950674

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

Option pricing with state-dependent pricing kernel

Tong, Chen; Hansen, Peter Reinhard; Huang, Zhuo - In: The journal of futures markets 42 (2022) 8, pp. 1409-1433

Persistent link: https://www.econbiz.de/10013287978

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

The Johansen-Granger representation theorem : a closed-form expression for I(1) processes

Hansen, Peter Reinhard (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001528512

Structural changes in the cointegrated vector autoregressive model

Hansen, Peter Reinhard (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001528994

An unbiased and powerful test for superior predictive ability

Hansen, Peter Reinhard (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001576446

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