A coupled component DCS-EGARCH model for intraday and overnight volatility (Q2190218)
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scientific article; zbMATH DE number 7213045
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| English | A coupled component DCS-EGARCH model for intraday and overnight volatility |
scientific article; zbMATH DE number 7213045 |
Statements
A coupled component DCS-EGARCH model for intraday and overnight volatility (English)
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18 June 2020
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DCS
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GAS
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GARCH
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size-based portfolios
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testing
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0.8214072585105896
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0.7928963899612427
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0.7793165445327759
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0.7710840106010437
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