Extended realized GARCH models

DOI10.1007/978-3-319-73906-9_14MaRDI QIDQ1627897zbMATH OpenOpenAlexFDO

Authors Giuseppe Storti, Richard Gerlach

Publication date 3 December 2018

Full work available at URL https://doi.org/10.1007/978-3-319-73906-9_14

zbMATH Keywords

GARCHvolatility forecastingrealized measures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cited in

(6)

• Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
• Unfolded GARCH models
• Volatility analysis with realized GARCH-Itô models
• Extended stochastic volatility models incorporating realised measures
• Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
• RCA models with GARCH innovations

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