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Score-driven models for realized volatility - MaRDI portal

Score-driven models for realized volatility (Q6090596)

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scientific article; zbMATH DE number 7767739
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English
Score-driven models for realized volatility
scientific article; zbMATH DE number 7767739

    Statements

    title
    Score-driven models for realized volatility (English)
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    publication date
    17 November 2023
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    zbMATH DE Number
    7767739
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    zbMATH Keywords
    GB2 distribution
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    HAR model
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    heteroscedasticity
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    volatility at risk
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    weekly volatility pattern
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    OpenAlex ID
    W4377246432
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