Conditional quantile analysis for realized GARCH models (Q5095829)
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scientific article; zbMATH DE number 7570758
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditional quantile analysis for realized GARCH models |
scientific article; zbMATH DE number 7570758 |
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Conditional quantile analysis for realized GARCH models (English)
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11 August 2022
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high-frequency financial data
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quasi-maximum likelihood estimation
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realized volatility
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risk management
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value at risk
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