A coupled component DCS-EGARCH model for intraday and overnight volatility
Year of publication: |
2020
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Authors: | Linton, Oliver ; Wu, Jianbin |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 1, p. 176-201
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Subject: | GARCH | DCS | GAS | Size-based portfolios | Testing | Volatilität | Volatility | ARCH-Modell | ARCH model | Nichtparametrisches Verfahren | Nonparametric statistics | Aktienindex | Stock index | Kapitalmarktrendite | Capital market returns | Portfolio-Management | Portfolio selection | Interbankenmarkt | Interbank market |
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