Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Year of publication: |
2023
|
---|---|
Authors: | Fu, Jin-Yu ; Lin, Jin-Guan ; Hao, Hong-Xia |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 4, p. 1698-1712
|
Subject: | Additive jumps | GARCH model | Griddy–Gibbs sampler | Itô process | Peaks over threshold | Volatility and VaR forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | Schätzung | Estimation | Schätztheorie | Estimation theory | Aktienindex | Stock index | VAR-Modell | VAR model |
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