A simple joint model for returns, volatility and volatility of volatility
Year of publication: |
2023
|
---|---|
Authors: | Ding, Yashuang |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 232.2023, 2, p. 521-543
|
Subject: | GARCH | SV | Forecasting | Nowcasting | Volatility of volatility | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Theorie | Theory | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
-
Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang, (2021)
-
Augmented real-time GARCH : a joint model for returns, volatility and volatility of volatility
Ding, Dexter, (2021)
-
Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone, (2023)
- More ...
-
Diffusion limits of real-time GARCH
Ding, Yashuang, (2020)
-
Weak diffusion limit of real-time GARCH models : the role of current return information
Ding, Yashuang, (2020)
-
Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang, (2021)
- More ...