A simple joint model for returns, volatility and volatility of volatility

DOI10.1016/j.jeconom.2021.09.012OpenAlexW3208576092MaRDI QIDQ2682964

Yashuang (Dexter) Ding

Publication date: 1 February 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.09.012

zbMATH Keywords

GARCHforecastingnowcastingvolatility of volatilitySV

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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