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Search: subject:"Realized-GARCH"
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4
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ECONIS (ZBW)
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56
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1
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:
2
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:
3
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:
4
Peg instability of USDT : a
realized
GARCH
CoVaR approach
Chen, Qihao
;
Huang, Zhuo
- In:
Applied economics
58
(
2026
)
11
,
pp. 2155-2169
Persistent link: https://www.econbiz.de/10015636662
Saved in:
5
Empirical performance of the optimal predictors under asymmetric loss GARCH vs.
realized
GARCH
models
Ulu, Yasemin
- In:
Applied economics
57
(
2025
)
53
,
pp. 8930-8943
Persistent link: https://www.econbiz.de/10015546622
Saved in:
6
Realized Real-time GARCH : a joint model for returns, realized measures and current information
Wu, Zhimin
;
Cai, Guanghui
- In:
Computational economics
66
(
2025
)
4
,
pp. 3359-3400
Persistent link: https://www.econbiz.de/10015591242
Saved in:
7
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:
8
Do realized higher moments have information content? : VaR forecasting based on the
realized
GARCH
-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
9
"Good" and "bad" volatilities : a realized semivariance GARCH approach
Xu, Dinghai
- In:
Applied economics
56
(
2024
)
51
,
pp. 6391-6411
Persistent link: https://www.econbiz.de/10015073572
Saved in:
10
Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation
Xu, Yongdeng
- In:
Journal of time series econometrics
16
(
2024
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10015052951
Saved in:
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