A generalized heterogeneous autoregressive model using market information (Q5092664)
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scientific article; zbMATH DE number 7562225
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A generalized heterogeneous autoregressive model using market information |
scientific article; zbMATH DE number 7562225 |
Statements
A generalized heterogeneous autoregressive model using market information (English)
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22 July 2022
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realized volatility
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microstructure noise
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pre-averaged estimators
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semi-variance
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semi-covariance
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volatility forecasting
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