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Search: subject:"Realized exponential GARCH"
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Borup, Daniel
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International economics : a journal published by CEPII (Center for research and expertise on the world economy)
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ECONIS (ZBW)
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The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall : a Complete
Realized
Exponential
GARCH
-X approach
Naimoli, Antonio
- In:
International economics : a journal published by CEPII …
176
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014468603
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Capturing volatility persistence : a dynamically complete realized EGARCH-MIDAS model
Borup, Daniel
;
Jakobsen, Johan S.
- In:
Quantitative finance
19
(
2019
)
11
,
pp. 1839-1855
Persistent link: https://www.econbiz.de/10015123057
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