Conditional quantile analysis for realized GARCH models-Reference-Cited by-同舟云学术

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Conditional quantile analysis for realized GARCH models

Published:2021-11-29 Issue: Volume: Page:
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Kim Donggyu¹^ORCID,Oh Minseog¹,Wang Yazhen²

Affiliation:

1. College of Business Korea‐65 Advanced Institute of Science and Technology (KAIST) Daejeon South Korea

2. Department of Statistics University of Wisconsin‐Madison Madison WI USA

Funder

National Research Foundation of Korea

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12633

Reference41 articles.

1. High‐frequency covariance estimates with noisy and asynchronous financial data;Aït‐Sahalia Y.;Journal of the American Statistical Association,2010

2. Modeling and forecasting realized volatility;Andersen TG;Econometrica,2003

3. Generic uniform convergence;Andrews DW;Econometric Theory,1992

4. Designing realized kernels to measure the ex post variation of equity prices in the presence of noise;Barndorff‐Nielsen OE;Econometrica,2008

5. Multivariate realised kernels: consistent positive semi‐definite estimators of the covariation of equity prices with noise and non‐synchronous trading;Barndorff‐Nielsen OE;Journal of Econometrics,2011

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