A RGARCH-CARR-SK model : a new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures
Junjie Liu, Qingnan Zhou, Zhenlong Chen
| Year of publication: |
2025
|
|---|---|
| Authors: | Liu, Junjie ; Zhou, Qingnan ; Chen, Zhenlong |
| 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. 77.2025, Art.-No. 102408, p. 1-16
|
| Subject: | Dynamic higher moments | Generalized realized measures | High-frequency volatility | RGARCH-CARR-SK model | Risk measurement | Volatilität | Volatility | Risiko | Risk | Messung | Measurement | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2025.102408 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015374491