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Search: subject:"Realized garch"
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ARCH-Modell
10
Realized GARCH
10
Volatility
10
ARCH model
9
Volatilität
9
Zeitreihenanalyse
9
Time series analysis
8
Estimation
7
Schätzung
7
realized GARCH
5
Forecasting model
4
Prognoseverfahren
4
Realized GARCH models
4
Realized Variance
4
high-frequency data
4
long memory
4
Aktie
3
Beta
3
Financial Volatility
3
High Frequency Data
3
Maximum-Likelihood-Schätzung
3
Risikomaß
3
Risk measure
3
expected shortfall
3
realized measures
3
value-at-risk
3
Bipower variation
2
Börsenkurs
2
Maximum likelihood estimation
2
Microstructure noise
2
Predictive Likelihood
2
Realized Kernel
2
Realized-GARCH
2
Share
2
Share price
2
Theorie
2
Theory
2
electricity prices
2
forecasting
2
jumps
2
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Online availability
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Free
23
CC license
1
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Book / Working Paper
14
Article
9
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Article in journal
6
Aufsatz in Zeitschrift
6
Working Paper
6
Arbeitspapier
4
Graue Literatur
3
Non-commercial literature
3
Article
1
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English
14
Undetermined
9
Author
All
Lunde, Asger
4
Hansen, Peter Reinhard
3
Vander Elst, Harry
3
Voev, Valeri
3
Barunik, Jozef
2
Krehlik, Tomas
2
Naimoli, Antonio
2
Sharma, Prateek
2
Sharma, Swati
2
Storti, Giuseppe
2
Vacha, Lukas
2
Abounoori, Esmaiel
1
Agapitos, Orestis
1
Chao, Wang
1
Elst, Harry Vander
1
Gerlach, Richard
1
Han, Yang
1
Hansen, Peter R.
1
Huang, Zhuo
1
Louzis, Dimitrios P.
1
Olesen, Kasper V.
1
Papantonis, Ioannis
1
Refenes, Apostolos P.
1
Richard, Gerlach
1
Rompolis, Leonidas S.
1
Takeuchi-Nogimori, Asuka
1
Tong, Chen
1
Tzavalis, Elias
1
Wang, Chao
1
Wang, Yuyao
1
Wu, Xinyu
1
Xanthopoulos-Sisinis, Spyros
1
Xu, Dinghai
1
Zabol, Mohammad Amin
1
Zhao, An
1
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Institute of Economic Research, Hitotsubashi University
2
School of Economics and Management, University of Aarhus
2
Business School, University of Sydney
1
Department of Economics, European University Institute
1
Nationale Bank van België/Banque national de Belqique (BNB)
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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CREATES Research Papers
2
Economics Bulletin
2
Global COE Hi-Stat Discussion Paper Series
2
ECARES working paper
1
Economics Working Papers / Department of Economics, European University Institute
1
FinMaP-Working Paper
1
Finmap working paper
1
Iranian economic review : journal of University of Tehran
1
Journal of Risk and Financial Management
1
Journal of forecasting
1
Journal of risk and financial management : JRFM
1
MPRA Paper
1
NBB Working Paper
1
Pacific-Basin finance journal
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The journal of futures markets
1
Waterloo economic series : working paper
1
Working Paper Research
1
Working Papers / Business School, University of Sydney
1
Working paper / National Bank of Belgium / National Bank of Belgium
1
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ECONIS (ZBW)
10
RePEc
10
EconStor
3
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10
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23
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date (oldest first)
1
Forecasting Chinese stock market volatility with high-frequency intraday and current return information
Wu, Xinyu
;
Zhao, An
;
Wang, Yuyao
;
Han, Yang
- In:
Pacific-Basin finance journal
86
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10015097250
Saved in:
2
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
3
Augmenting the
Realized-GARCH
: the role of signed-jumps, attenuation-biases and long-memory effects
Papantonis, Ioannis
;
Rompolis, Leonidas S.
;
Tzavalis, Elias
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 171-198
Persistent link: https://www.econbiz.de/10014288888
Saved in:
4
Option pricing with state-dependent pricing kernel
Tong, Chen
;
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
Saved in:
5
Forecasting volatility and tail risk in electricity markets
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Journal of Risk and Financial Management
14
(
2021
)
7
,
pp. 1-17
propose using
Realized
GARCH
-type models with multiple measurement equations based on robust estimators to account for market …
Persistent link: https://www.econbiz.de/10013200978
Saved in:
6
Forecasting volatility and tail risk in electricity markets
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
7
,
pp. 1-17
propose using
Realized
GARCH
-type models with multiple measurement equations based on robust estimators to account for market …
Persistent link: https://www.econbiz.de/10012622471
Saved in:
7
Modeling gold volatility :
realized
GARCH
approach
Abounoori, Esmaiel
;
Zabol, Mohammad Amin
- In:
Iranian economic review : journal of University of Tehran
24
(
2020
)
1
,
pp. 299-311
Persistent link: https://www.econbiz.de/10012153501
Saved in:
8
A study on volatility spurious almost integration effect : a threshold
realized
GARCH
approach
Xu, Dinghai
-
2019
Persistent link: https://www.econbiz.de/10012137575
Saved in:
9
Modeling and forecasting exchange rate volatility in time-frequency domain
Barunik, Jozef
;
Krehlik, Tomas
;
Vacha, Lukas
-
2016
forecasting model based on
Realized
GARCH
with multiple time-frequency decomposed realized volatility measures, we study the …
Persistent link: https://www.econbiz.de/10011412821
Saved in:
10
Modeling and forecasting exchange rate volatility in time-frequency domain
Barunik, Jozef
;
Krehlik, Tomas
;
Vacha, Lukas
-
2016
forecasting model based on
Realized
GARCH
with multiple time-frequency decomposed realized volatility measures, we study the …
Persistent link: https://www.econbiz.de/10011412440
Saved in:
1
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