Overnight GARCH-Itô Volatility Models
Author:
Affiliation:
1. College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea
2. Department of Statistics, University of Wisconsin-Madison, Madison, WI, USA
Funder
National Research Foundation of Korea
NSF
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/10.1080/07350015.2022.2116027
Reference48 articles.
1. High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
2. Testing for jumps in noisy high frequency data
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4. Modeling and Forecasting Realized Volatility
5. A reduced form framework for modeling volatility of speculative prices based on realized variation measures
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