Robust \(M\)-estimate of GJR model with high frequency data (Q2516046)
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English | Robust \(M\)-estimate of GJR model with high frequency data |
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Robust \(M\)-estimate of GJR model with high frequency data (English)
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10 August 2015
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GJR model
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GARCH model
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robust \(M\)-estimates
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scaling model
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volatility proxy
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Monte Carlo simulation
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