GARCH and irregularly spaced data

DOI10.1016/j.econlet.2005.07.027zbMath1254.91756OpenAlexW2097454723MaRDI QIDQ1929030

Eric Renault, Nour Meddahi, Bas J. M. Werker

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://pure.uvt.nl/portal/en/publications/garch-and-irregularly-spaced-data(cde7c8bd-37ac-4692-836c-c73b60a900a0).html

zbMATH Keywords

continuous time modelvolatilityexact discretization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (8)

On the test of the volatility proxy model ⋮ REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS ⋮ Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model ⋮ The stochastic conditional duration model: a latent variable model for the analysis of financial durations ⋮ Volatility inference in the presence of both endogenous time and microstructure noise ⋮ The dynamic mixed hitting-time model for multiple transaction prices and times ⋮ Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity ⋮ Causality effects in return volatility measures with random times

Cites Work

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• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Temporal Aggregation of Garch Processes
• GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• The Econometrics of Ultra-high-frequency Data
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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