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Multiple measures realized GARCH models - MaRDI portal

Multiple measures realized GARCH models (Q6614836)

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scientific article; zbMATH DE number 7922650
Language Label Description Also known as
English
Multiple measures realized GARCH models
scientific article; zbMATH DE number 7922650

    Statements

    title
    Multiple measures realized GARCH models (English)
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    author
    Antonio Naimoli
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    Giuseppe Storti
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    publication date
    8 October 2024
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    zbMATH Keywords
    realized GARCH
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    realized volatility measures
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    sampling frequency
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    PCA
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    tail risk forecasting
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    cites work

    Identifiers

    zbMATH DE Number
    7922650
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