Towards a unified framework for high and low frequency return volatility modeling

DOI10.1111/1467-9574.00085zbMath0951.91018OpenAlexW1971628273MaRDI QIDQ4259384

Tim Bollerslev, Torben G. Andersen

Publication date: 23 August 1999

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9574.00085

zbMATH Keywords

stochastic volatilityARCHlong memoryhigh-frequency dataintraday seasonal

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (4)

Realistic Statistical Modelling of Financial Data ⋮ Parametric estimation of long memory in factor models ⋮ Multiresolution approximation for volatility processes ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

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