Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects

DOI10.1515/snde-2020-0131OpenAlexW4292432147MaRDI QIDQ6138236

Elias Tzavalis, Orestis Agapitos, Ioannis Papantonis, Leonidas S. Rompolis

Publication date: 5 September 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2020-0131

zbMATH Keywords

HARrealized varianceNIGrealized-GARCHheterogeneous auto-regressiveSGED

Mathematics Subject Classification ID

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

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