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Forecasting risk via realized GARCH, incorporating the realized range - MaRDI portal

Forecasting risk via realized GARCH, incorporating the realized range (Q5001146)

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scientific article; zbMATH DE number 7372414
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English
Forecasting risk via realized GARCH, incorporating the realized range
scientific article; zbMATH DE number 7372414

    Statements

    title
    Forecasting risk via realized GARCH, incorporating the realized range (English)
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    author
    Chao Wang
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    Richard H. Gerlach
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    publication date
    16 July 2021
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    zbMATH Keywords
    volatility estimation for financial asset returns
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62M20
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    62P05
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    zbMATH DE Number
    7372414
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    OpenAlex ID
    W2295520480
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