Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Year of publication: |
2020
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Authors: | Gerlach, Richard ; Naimoli, Antonio ; Storti, Giuseppe |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 11, p. 1849-1878
|
Subject: | Attenuation bias | Measurement error | Realized GARCH | Realized quarticity | Realized volatility | Tail risk forecasting | Schätzung | Estimation | Volatilität | Volatility | ARCH-Modell | ARCH model | Systematischer Fehler | Bias | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model |
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