Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Piotr Fiszeder, Marcin Fałdziński, Peter Molnár
| Year of publication: |
2023
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| Authors: | Fiszeder, Piotr ; Fałdziński, Marcin ; Molnár, Peter |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 70.2023, p. 308-321
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| Subject: | Covariance forecasting | Dynamic conditional correlation | High-low range | Multivariate GARCH | Value-at-risk | Volatility models | Volatilität | Volatility | ARCH-Modell | ARCH model | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Börsenkurs | Share price |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2022.12.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014423712