State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
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Publication:5030954
DOI10.1111/jtsa.12594zbMath1492.91351arXiv2102.13404OpenAlexW3161764405MaRDI QIDQ5030954
Publication date: 18 February 2022
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.13404
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)
Related Items (3)
Conditional quantile analysis for realized GARCH models ⋮ Volatility models for stylized facts of high‐frequency financial data ⋮ Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
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