Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects (Q6138236): Difference between revisions

Latest revision as of 18:47, 30 December 2024

scientific article; zbMATH DE number 7734251

Language	Label	Description	Also known as
English	Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects	scientific article; zbMATH DE number 7734251

Statements

instance of

scholarly article

0 references

title

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

0 references

0 references

0 references

0 references

0 references

Studies in Nonlinear Dynamics and Econometrics

0 references

publication date

5 September 2023

0 references

zbMATH Keywords

HAR

0 references

heterogeneous auto-regressive

0 references

NIG

0 references

realized variance

0 references

realized-GARCH

0 references

SGED

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1515/snde-2020-0131

0 references

cites work

The Distribution of Realized Exchange Rate Volatility

0 references

Modeling and Forecasting Realized Volatility

0 references

Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

0 references

Handbook of Financial Time Series

0 references

Long Memory, Realized Volatility and Heterogeneous Autoregressive Models

0 references

Q4167332

0 references

Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

0 references

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

0 references

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

0 references

Handbook of Volatility Models and Their Applications

0 references

Estimating stochastic volatility models using realized measures

0 references

Generalized autoregressive conditional heteroscedasticity

0 references

A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects

0 references

Exploiting the errors: a simple approach for improved volatility forecasting

0 references

Option pricing for GARCH-type models with generalized hyperbolic innovations

0 references

Evaluating Direct Multistep Forecasts

0 references

Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations

0 references

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

0 references

A multiple indicators model for volatility using intra-daily data

0 references

GARCH Models

0 references

Adaptive forecasting in the presence of recent and ongoing structural change

0 references

Q3368225

0 references

The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

0 references

Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements

0 references

A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series

0 references

Q5706744

0 references

Conditional Heteroskedasticity in Asset Returns: A New Approach

0 references

Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White

0 references

The Stationary Bootstrap

0 references

Automatic Block-Length Selection for the Dependent Bootstrap

0 references

Estimating stochastic volatility models using daily returns and realized volatility simultaneously

0 references

Financial Data and the Skewed Generalized T Distribution

0 references

Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution

0 references

A Reality Check for Data Snooping

0 references

Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model

0 references

Threshold heteroskedastic models

0 references

Identifiers

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

10.1515/SNDE-2020-0131

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6138236

@@ Property / DOI @@
-.1515/snde-2020-0131
@@ Property / DOI: 10.1515/snde-2020-0131 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1515/snde-2020-0131
+Normal rank
@@ Property / OpenAlex ID @@
+W4292432147
@@ Property / OpenAlex ID: W4292432147 / rank @@
+Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
+Normal rank
@@ Property / cites work @@
+Handbook of Financial Time Series
@@ Property / cites work: Handbook of Financial Time Series / rank @@
+Normal rank
@@ Property / cites work @@
+Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Q4167332
@@ Property / cites work: Q4167332 / rank @@
+Normal rank
@@ Property / cites work @@
+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
+Normal rank
@@ Property / cites work @@
+Handbook of Volatility Models and Their Applications
+Normal rank
@@ Property / cites work @@
+Estimating stochastic volatility models using realized measures
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
+Normal rank
@@ Property / cites work @@
+Exploiting the errors: a simple approach for improved volatility forecasting
+Normal rank
@@ Property / cites work @@
+Option pricing for GARCH-type models with generalized hyperbolic innovations
+Normal rank
@@ Property / cites work @@
+Evaluating Direct Multistep Forecasts
@@ Property / cites work: Evaluating Direct Multistep Forecasts / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+A multiple indicators model for volatility using intra-daily data
+Normal rank
@@ Property / cites work @@
+GARCH Models
@@ Property / cites work: GARCH Models / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive forecasting in the presence of recent and ongoing structural change
+Normal rank
@@ Property / cites work @@
+Q3368225
@@ Property / cites work: Q3368225 / rank @@
+Normal rank
@@ Property / cites work @@
+The NIG-S&amp;ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
+Normal rank
@@ Property / cites work @@
+Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
+Normal rank
@@ Property / cites work @@
+A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
+Normal rank
@@ Property / cites work @@
+The Stationary Bootstrap
@@ Property / cites work: The Stationary Bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Automatic Block-Length Selection for the Dependent Bootstrap
+Normal rank
@@ Property / cites work @@
+Estimating stochastic volatility models using daily returns and realized volatility simultaneously
+Normal rank
@@ Property / cites work @@
+Financial Data and the Skewed Generalized T Distribution
+Normal rank
@@ Property / cites work @@
+Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
+Normal rank
@@ Property / cites work @@
+A Reality Check for Data Snooping
@@ Property / cites work: A Reality Check for Data Snooping / rank @@
+Normal rank
@@ Property / cites work @@
+Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
+Normal rank
@@ Property / cites work @@
+Threshold heteroskedastic models
@@ Property / cites work: Threshold heteroskedastic models / rank @@
+Normal rank
@@ Property / DOI @@
+.1515/SNDE-2020-0131
@@ Property / DOI: 10.1515/SNDE-2020-0131 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6138236