Augmenting the Realized-GARCH : the role of signed-jumps, attenuation-biases and long-memory effects
Ioannis Papantonis, Leonidas S. Rompolis, Elias Tzavalis and Orestis Agapitos
| Year of publication: |
2023
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|---|---|
| Authors: | Papantonis, Ioannis ; Rompolis, Leonidas S. ; Tzavalis, Elias ; Agapitos, Orestis |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 2, p. 171-198
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| Subject: | HAR | heterogeneous auto-regressive | NIG | realized variance | Realized-GARCH | SGED | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2020-0131 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014288888