GARCH model estimation using estimated quadratic variation
John W. Galbraitha, Victoria Zinde-Walsh, and Jingmei Zhu
| Year of publication: |
2015
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|---|---|
| Authors: | Galbraith, John W. ; Zinde-Walsh, Victoria ; Zhu, Jingmei |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 34.2015, 6/10, p. 1172-1192
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| Subject: | GARCH | High-frequency data | LAD | Quadratic variation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Schätzung | Estimation | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2014.956629 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011483454