Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Incorporating overnight and intraday returns into multivariate GARCH volatility models |
scientific article |
Statements
Incorporating overnight and intraday returns into multivariate GARCH volatility models (English)
0 references
18 June 2020
0 references
mixed-frequency sampling
0 references
overnight returns
0 references
intraday returns
0 references
multivariate GARCH
0 references
0 references
0 references
0 references
0 references
0 references
0 references
