Exponential GARCH Modeling with Realized Measures of Volatility
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- Peter Reinhard Hansen & Zhuo Huang, 2016. "Exponential GARCH Modeling With Realized Measures of Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 269-287, April.
- Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," Economics Working Papers ECO2012/26, European University Institute.
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More about this item
Keywords
EGARCH; High Frequency Data; Realized Variance; Leverage Effect.;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-11-24 (Econometrics)
- NEP-ETS-2012-11-24 (Econometric Time Series)
- NEP-MST-2012-11-24 (Market Microstructure)
- NEP-RMG-2012-11-24 (Risk Management)
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