Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7213059
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Incorporating overnight and intraday returns into multivariate GARCH volatility models |
scientific article; zbMATH DE number 7213059 |
Statements
Incorporating overnight and intraday returns into multivariate GARCH volatility models (English)
0 references
18 June 2020
0 references
mixed-frequency sampling
0 references
overnight returns
0 references
intraday returns
0 references
multivariate GARCH
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.7928963899612427
0 references
0.7792640328407288
0 references
0.7755391001701355
0 references
0.7738330364227295
0 references
0.7700900435447693
0 references
