Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach

DOI10.1007/s10203-012-0130-xzbMath1398.62328OpenAlexW2028430664MaRDI QIDQ2343097

Umberto Triacca, Fulvia Focker

Publication date: 4 May 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-012-0130-x

zbMATH Keywords

dynamic factor modelrealized volatilityovernight volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

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• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Distribution of Realized Exchange Rate Volatility
• Determining the Number of Factors in the General Dynamic Factor Model
• Dynamic Asymmetric Leverage in Stochastic Volatility Models

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