Extended realized GARCH models

DOI10.1007/978-3-319-73906-9_14zbMath1402.62199OpenAlexW2795163916MaRDI QIDQ1627897

Giuseppe Storti, Richard H. Gerlach

Publication date: 3 December 2018

Full work available at URL: https://doi.org/10.1007/978-3-319-73906-9_14

zbMATH Keywords

GARCHvolatility forecastingrealized measures

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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