Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics (Q4957245)
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scientific article; zbMATH DE number 7390945
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics |
scientific article; zbMATH DE number 7390945 |
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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics (English)
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3 September 2021
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realized GARCH
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realized volatility
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realized quarticity
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attenuation bias
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measurement error
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tail risk forecasting
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