Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility
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Publication:6641048
DOI10.1111/jtsa.12729MaRDI QIDQ6641048
Hong-Xia Hao, Jinyu Fu, Jin-Guan Lin, Guangying Liu
Publication date: 20 November 2024
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
thresholdItô processquasi-maximum likelihood estimateleverage effectsGQARCHrealized range-based volatility estimator
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