A generalized heterogeneous autoregressive model using market information
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Publication:5092664
DOI10.1080/14697688.2022.2076606zbMath1497.91291OpenAlexW4281703941MaRDI QIDQ5092664
Marwan Izzeldin, Ingmar Nolte, Rodrigo Hizmeri, Vasileios Pappas
Publication date: 22 July 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2022.2076606
realized volatilitymicrostructure noisevolatility forecastingsemi-variancepre-averaged estimatorssemi-covariance
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial markets (91G15)
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