Bivariate volatility modeling with high-frequency data
Year of publication: |
2019
|
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Authors: | Matei, Marius ; Rovira, Xari ; Agell, Núria |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 7.2019, 3/41, p. 1-15
|
Subject: | bivariate GARCH | forecasting | high-frequency | realized measures | volatility | Theorie | Theory | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Schätzung | Estimation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics7030041 [DOI] hdl:10419/247541 [Handle] |
Classification: | C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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