Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models
| Year of publication: |
2008
|
|---|---|
| Authors: | Racicot, François-Éric ; Théoret, Raymond ; Coën, Alain |
| Published in: |
International Advances in Economic Research. - International Atlantic Economic Society - IAES. - Vol. 14.2008, 1, p. 112-124
|
| Publisher: |
International Atlantic Economic Society - IAES |
| Subject: | Realized volatility | UHF-GARCH | Time deformation | Financial markets | Daily VaR | Historical simulation |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005705444