Realized GARCH: a joint model for returns and realized measures of volatility
Year of publication: |
2012
|
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Authors: | Hansen, Peter Reinhard ; Huang, Zhuo ; Shek, Howard Howan |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 27.2012, 6, p. 877-906
|
Subject: | ARCH-Modell | ARCH model | Schätzung | Estimation | Volatilität | Volatility | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
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