State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data (Q5030954): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Marginal likelihood for Markov-switching and change-point GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Theory and inference for a Markov switching GARCH model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional GARCH models: the quasi-likelihood approach and its applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A multiple indicators model for volatility using intra-daily data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive conditional heteroskedasticity and changes in regime / rank
 
Normal rank
Property / cites work
 
Property / cites work: Microstructure noise in the continuous case: the pre-averaging approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing in ARCH-type Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical Inference for Unified Garch-Itô Models with High-Frequency Financial Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic theory for large volatility matrix estimation based on high-frequency financial data / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Introduction to Regime Switching Time Series Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating the integrated volatility using high-frequency data with zero durations / rank
 
Normal rank
Property / cites work
 
Property / cites work: The functional central limit theorem under the strong mixing condition / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH models as diffusion approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Causality effects in return volatility measures with random times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility analysis with realized GARCH-Itô models / rank
 
Normal rank
Property / cites work
 
Property / cites work: FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volume, volatility, and leverage: A dynamic analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic nonequivalence of GARCH models and diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-maximum likelihood estimation of volatility with high frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating covariation: Epps effect, microstructure noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2950827 / rank
 
Normal rank

Revision as of 01:13, 28 July 2024

scientific article; zbMATH DE number 7476229
Language Label Description Also known as
English
State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
scientific article; zbMATH DE number 7476229

    Statements

    State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data (English)
    0 references
    0 references
    0 references
    18 February 2022
    0 references
    GARCH
    0 references
    diffusion process
    0 references
    regime switching
    0 references
    quasi-maximum likelihood estimator
    0 references
    Wald test
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references