A conditional extreme value volatility estimator based on high-frequency returns
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Publication:959736
DOI10.1016/j.jedc.2005.10.002zbMath1162.91521OpenAlexW3123136671MaRDI QIDQ959736
Publication date: 12 December 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2005.10.002
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)
Related Items (6)
Bayesian analysis of tail asymmetry based on a threshold extreme value model ⋮ The contribution of intraday jumps to forecasting the density of returns ⋮ Modeling maxima with autoregressive conditional Fréchet model ⋮ Robust estimation with flexible parametric distributions: estimation of utility stock betas ⋮ Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation ⋮ Incorporating higher moments into value-at-risk forecasting
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