Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Richard Gerlach, Antonio Naimoli and Giuseppe Storti
| 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
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| Subject: | Attenuation bias | Measurement error | Realized GARCH | Realized quarticity | Realized volatility | Tail risk forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Systematischer Fehler | Bias | Zeitreihenanalyse | Time series analysis | Statistischer Fehler | Statistical error | Schätzung | Estimation | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1751257 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012295647