Score-driven models for realized volatility

DOI10.1016/J.JECONOM.2023.01.029OpenAlexW4377246432MaRDI QIDQ6090596

No author found.

Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.01.029

zbMATH Keywords

heteroscedasticityHAR modelGB2 distributionvolatility at riskweekly volatility pattern

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Volatility forecast comparison using imperfect volatility proxies
• A generalization of the beta distribution with applications
• Maximum likelihood estimation for score-driven models
• Chasing volatility. A persistent multiplicative error model with jumps
• Volatility Modeling with a GeneralizedtDistribution
• The Volatility of Realized Volatility
• Statistical Size Distributions in Economics and Actuarial Sciences
• Modeling the Interactions between Volatility and Returns using EGARCH‐M
• Time‐series models with an EGB2 conditional distribution
• Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
• Modeling and Forecasting Realized Volatility
• Exploiting the errors: a simple approach for improved volatility forecasting

This page was built for publication: Score-driven models for realized volatility