Volatility analysis with realized GARCH-Itô models (Q134810): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||||||||||||||
| Property / publication date | |||||||||||||||
24 March 2021
| |||||||||||||||
| Property / publication date: 24 March 2021 / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / author | |||||||||||||||
| Property / author: Yanyan Li / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / title | |||||||||||||||
Volatility analysis with realized GARCH-Itô models (English) | |||||||||||||||
| Property / title: Volatility analysis with realized GARCH-Itô models (English) / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / zbMATH Open document ID | |||||||||||||||
| Property / zbMATH Open document ID: 1471.62498 / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / full work available at URL | |||||||||||||||
| Property / full work available at URL: https://arxiv.org/abs/1907.01175 / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / Mathematics Subject Classification ID | |||||||||||||||
| Property / Mathematics Subject Classification ID: 62P05 / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / Mathematics Subject Classification ID | |||||||||||||||
| Property / Mathematics Subject Classification ID: 62M10 / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / Mathematics Subject Classification ID | |||||||||||||||
| Property / Mathematics Subject Classification ID: 62F12 / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / zbMATH DE Number | |||||||||||||||
| Property / zbMATH DE Number: 7327200 / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / zbMATH Keywords | |||||||||||||||
high-frequency financial data | |||||||||||||||
| Property / zbMATH Keywords: high-frequency financial data / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / zbMATH Keywords | |||||||||||||||
option data | |||||||||||||||
| Property / zbMATH Keywords: option data / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / zbMATH Keywords | |||||||||||||||
quasi-maximum likelihood estimation | |||||||||||||||
| Property / zbMATH Keywords: quasi-maximum likelihood estimation / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / zbMATH Keywords | |||||||||||||||
stochastic differential equation | |||||||||||||||
| Property / zbMATH Keywords: stochastic differential equation / rank | |||||||||||||||
Normal rank | |||||||||||||||
| Property / zbMATH Keywords | |||||||||||||||
volatility estimation and prediction | |||||||||||||||
| Property / zbMATH Keywords: volatility estimation and prediction / rank | |||||||||||||||
Normal rank | |||||||||||||||
Revision as of 00:59, 7 August 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility analysis with realized GARCH-Itô models |
scientific article |
Statements
222
0 references
1
0 references
393-410
0 references
May 2021
0 references
24 March 2021
0 references
Volatility analysis with realized GARCH-Itô models (English)
0 references
high-frequency financial data
0 references
option data
0 references
quasi-maximum likelihood estimation
0 references
stochastic differential equation
0 references
volatility estimation and prediction
0 references
