Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
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Publication:4957245
DOI10.1080/14697688.2020.1751257zbMath1469.91066OpenAlexW3012691487MaRDI QIDQ4957245
Antonio Naimoli, Giuseppe Storti, Richard H. Gerlach
Publication date: 3 September 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/99398/9/MPRA_paper_99398.pdf
measurement errorrealized volatilityrealized GARCHattenuation biasrealized quarticitytail risk forecasting
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)
Uses Software
Cites Work
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