RealGARCH_Web_Appendix.pdf
Creators:
Peter Reinhard Hansen
;
Zhuo Huang
;
Howard Shek
From the dataset abstract
We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized...
Source: Realized GARCH: a joint model for returns and realized measures of volatility (replication data)
Metadata
| Field | Value |
|---|---|
| Format | application/pdf |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/623fd7b5-40c2-41db-8e0e-8e8d3480ca3e/resource/b1ca9617-7687-457b-9d70-08adfeb2a425/download/realgarch_web_appendix.pdf |
| Last updated | November 16, 2022 |
| Created | November 16, 2022 |
