A multiple indicators model for volatility using intra-daily data (Q292000): Difference between revisions

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+M10
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+B84
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+volatility modeling
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@@ Property / zbMATH Keywords @@
+volatility forecasting
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+GARCH
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+VIX
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@@ Property / zbMATH Keywords @@
+high-low range
@@ Property / zbMATH Keywords: high-low range / rank @@
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@@ Property / zbMATH Keywords @@
+realized volatility
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@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
+Normal rank
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+What good is a volatility model?
@@ Property / cites work: What good is a volatility model? / rank @@
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+Estimating variance from high, low and closing prices
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+Q5445942
@@ Property / cites work: Q5445942 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:292000