Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data-Reference-Cited by-同舟云学术

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Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data

Published:2022-09 Issue: Volume: Page:
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Fu Jin-Yu,Lin Jin-Guan,Hao Hong-Xia

Publisher

Elsevier BV

Subject

Business and International Management

Reference61 articles.

1. Bayesian analysis of periodic asymmetric power garch models;Abdelhakim;Studies in Nonlinear Dynamics & Econometrics,2020

2. Information theory and an extension of the maximum likelihood principle;Akaike,1998

3. An empirical investigation of continuous-time equity return models;Andersen;The Journal of Finance,2002

4. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

5. Price and volatility co-jumps;Bandi;Journal of Financial Economics,2016

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1. Heteroscedasticity effects as component to future stock market predictions using RNN-based models;PLOS ONE;2024-05-24

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