Score-driven models for realized volatility
Andrew Harvey, Dario Palumbo
| Year of publication: |
30 May 2019
|
|---|---|
| Authors: | Harvey, Andrew C. ; Palumbo, Dario |
| Publisher: |
Cambridge : University of Cambridge, Faculty of Economics |
| Subject: | EGARCH | GB2 distribution | HAR model | heteroscedasticity | long memory | weekly volatility pattern | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Statistische Verteilung | Statistical distribution | Theorie | Theory | Wechselkurs | Exchange rate | Schätzung | Estimation |
freely available