High-frequency-based volatility model with network structure

DOI10.1111/JTSA.12726MaRDI QIDQ6641045zbMATH OpenFDO

Authors Huiling Yuan, Kexin Lu, Guodong Li, Junhui Wang

Publication date 20 November 2024

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1111/JTSA.12726

zbMATH Keywords

high-frequency datalow-frequency datanetwork structurequasi-maximum likelihood estimatorsvolatility prediction power

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes (62Mxx)

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