High-frequency-based volatility model with network structure

DOI10.1111/jtsa.12726MaRDI QIDQ6641045

Huiling Yuan, Guodong Li, Junhui Wang, Kexin Lu

Publication date: 20 November 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

zbMATH Keywords

high-frequency datanetwork structurequasi-maximum likelihood estimatorslow-frequency datavolatility prediction power

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

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