Robust \(M\)-estimate of GJR model with high frequency data (Q2516046)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust \(M\)-estimate of GJR model with high frequency data |
scientific article |
Statements
Robust \(M\)-estimate of GJR model with high frequency data (English)
0 references
10 August 2015
0 references
GJR model
0 references
GARCH model
0 references
robust \(M\)-estimates
0 references
scaling model
0 references
volatility proxy
0 references
Monte Carlo simulation
0 references
