Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility (Q6641048)
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scientific article; zbMATH DE number 7947026
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility |
scientific article; zbMATH DE number 7947026 |
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Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility (English)
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20 November 2024
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Itô process
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GQARCH
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leverage effects
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threshold
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realized range-based volatility estimator
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quasi-maximum likelihood estimate
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