Real-time GARCHCARR : A joint model of returns, realized measure of volatility and current intraday information
Buyun Xu, Zhimin Wu
| Year of publication: |
2025
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| Authors: | Buyun, Xu ; Wu, Zhimin |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 76.2025, Art.-No. 102368, p. 1-35
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| Subject: | GARCH@CARR | Real-time information in high-frequency data | Return density | Risk measurement | Volatility | Volatilität | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation | Messung | Measurement | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2025.102368 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015372603