Statistical Inference for Unified Garch-Itô Models with High-Frequency Financial Data-Reference-Cited by-同舟云学术

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Statistical Inference for Unified Garch-Itô Models with High-Frequency Financial Data

Published:2015-11-29 Issue:4 Volume:37 Page:513-532
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Kim Donggyu¹

Affiliation:

1. Department of Statistics; University of Wisconsin-Madison; Madison WI USA

Publisher

Wiley

Subject

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

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12171/fullpdf

Reference22 articles.

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

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

3. Econometric analysis of realized volatility and its use in estimating stochastic volatility models;Barndorff-Nielsen;Journal of the Royal Statistical Society, Series B,2002

4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

5. Autoregressive conditional heteroscedasticity with estimates of the variance of inflation in the United Kingdom;Engle;Econometrica,1982

Cited by 10 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility;Journal of Time Series Analysis;2023-12-19

2. Volatility models for stylized facts of high‐frequency financial data;Journal of Time Series Analysis;2022-10-02

3. Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data;International Journal of Forecasting;2022-09

4. Volatility Models for Stylized Facts of High-Frequency Financial Data;SSRN Electronic Journal;2022

5. Conditional quantile analysis for realized GARCH models;Journal of Time Series Analysis;2021-11-29

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