FloGARCH: Realizing long memory and asymmetries in returns volatility
Year of publication: |
2015
|
---|---|
Authors: | Vander Elst, Harry |
Publisher: |
Brussels : National Bank of Belgium |
Subject: | Aktie | ARCH-Modell | Zeitreihenanalyse | Maximum-Likelihood-Schätzung | Realized GARCH models | high-frequency data | long memory | realized measures. |
Series: | NBB Working Paper ; 280 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 877624844 [GVK] hdl:10419/144492 [Handle] RePEc:nbb:reswpp:201504-280 [RePEc] |
Classification: | C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; c58 ; G17 - Financial Forecasting |
Source: |
-
FloGARCH : realizing long memory and asymmetries in returns volatility
Vander Elst, Harry, (2015)
-
FloGARCH : Realizing long memory and asymmetries in returns volatility
Elst, Harry Vander, (2015)
-
FIR-GARCH : Realizing Long Memory and Asymmetries in Returns Volatility
Vander Elst, Harry, (2015)
- More ...
-
FIR-GARCH : Realizing Long Memory and Asymmetries in Returns Volatility
Vander Elst, Harry, (2015)
-
Realizing Correlations Across Asset Classes
Groenborg, Niels, (2019)
-
Disentangled jump-robust realized covariances and correlations with non-synchronous prices
Vander Elst, Harry, (2014)
- More ...