Multivariate leverage effects and realized semicovariance GARCH models (Q2190232)
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scientific article; zbMATH DE number 7213057
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| English | Multivariate leverage effects and realized semicovariance GARCH models |
scientific article; zbMATH DE number 7213057 |
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Multivariate leverage effects and realized semicovariance GARCH models (English)
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18 June 2020
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high-frequency data
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realized volatility
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realized correlation
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semivariance
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asymmetric dependence
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0.8382943868637085
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0.8229244947433472
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0.8219718933105469
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0.8056895732879639
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