Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235): Difference between revisions
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Latest revision as of 20:48, 26 August 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Incorporating overnight and intraday returns into multivariate GARCH volatility models |
scientific article |
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Incorporating overnight and intraday returns into multivariate GARCH volatility models (English)
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18 June 2020
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mixed-frequency sampling
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overnight returns
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intraday returns
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multivariate GARCH
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