Incorporating overnight and intraday returns into multivariate GARCH volatility models
Geert Dhaene, Jianbin Wu
| Year of publication: |
2020
|
|---|---|
| Authors: | Dhaene, Geert ; Wu, Jianbin |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 2, p. 471-495
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| Subject: | Intraday returns | Mixed-frequency sampling | Multivariate GARCH | Overnight returns | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Stichprobenerhebung | Sampling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.12.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482817