Exponential GARCH Modeling With Realized Measures of Volatility-Reference-Cited by-同舟云学术

Exponential GARCH Modeling With Realized Measures of Volatility

Published:2016-03-17 Issue:2 Volume:34 Page:269-287
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Hansen Peter Reinhard¹,Huang Zhuo²

Affiliation:

1. European University Institute, 50014 San Domenico di Fiesole FI, Italy, University of North Carolina, Chapel Hill, NC, USA, and CREATES, Aarhus University, 8000 Aarhus C, Denmark

2. National School of Development, China Center for Economic Research, Peking University, Beijing, China

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2015.1038543

Reference41 articles.

1. Range-Based Estimation of Stochastic Volatility Models

2. Andersen, T., Dobrev, D., and Schaumburg, E. (2008), “Duration-Based Volatility Estimation,” working paper gd08-034, Institute of Economic Research, Hitotsubashi University.

3. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

4. The Distribution of Realized Exchange Rate Volatility

5. Modeling and Forecasting Realized Volatility

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