Volatility analysis with realized GARCH-Itô models (Q134810)
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scientific article; zbMATH DE number 7327200
| Language | Label | Description | Also known as |
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| English | Volatility analysis with realized GARCH-Itô models |
scientific article; zbMATH DE number 7327200 |
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222
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1
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393-410
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May 2021
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24 March 2021
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Volatility analysis with realized GARCH-Itô models (English)
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high-frequency financial data
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option data
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quasi-maximum likelihood estimation
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stochastic differential equation
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volatility estimation and prediction
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0.9039197
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0.90043265
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0.9004326
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0.8953412
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0.89046466
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0.8863699
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Donggyu Kim
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Yazhen Wang
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Huiling Yuan
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Xiangyu Cui
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Zhiping Lu
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Yong Zhou
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