Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model

DOI10.1080/14697688.2019.1614653zbMath1435.62420OpenAlexW2949360957WikidataQ127735041 ScholiaQ127735041MaRDI QIDQ5212061

Daniel Borup, Johan Stax Jakobsen

Publication date: 24 January 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10398/90a1fbe6-a333-49ec-bcbe-0a64a606ae4d

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (3)

S&P 500 volatility, volatility regimes, and economic uncertainty ⋮ Stock market volatility and public information flow: a non-linear perspective ⋮ Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics

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