Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model

DOI10.1080/14697688.2019.1614653MaRDI QIDQ5212061zbMATH OpenOpenAlexWikidataFDO

Authors Daniel Borup, Johan Stax Jakobsen

Publication date 24 January 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10398/90a1fbe6-a333-49ec-bcbe-0a64a606ae4d

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

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Cited in

(5)

• Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
• Extended realized GARCH models
• Modeling volatility persistence of speculative returns: a new approach
• Stock market volatility and public information flow: a non-linear perspective
• S&P 500 volatility, volatility regimes, and economic uncertainty

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