Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics (Q4957245)
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 7390945
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics |
scientific article; zbMATH DE number 7390945 |
Statements
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics (English)
0 references
3 September 2021
0 references
realized GARCH
0 references
realized volatility
0 references
realized quarticity
0 references
attenuation bias
0 references
measurement error
0 references
tail risk forecasting
0 references
0 references
0 references
0 references
0.767286479473114
0 references
0.7661665678024292
0 references
0.7648500204086304
0 references
0.762353777885437
0 references
0.7504823803901672
0 references
