A new volatility model: GQARCH‐ItÔ model (Q5095287)
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scientific article; zbMATH DE number 7569197
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| English | A new volatility model: GQARCH‐ItÔ model |
scientific article; zbMATH DE number 7569197 |
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A new volatility model: GQARCH‐ItÔ model (English)
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8 August 2022
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volatility asymmetry
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low-frequency historical data
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high-frequency historical data
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quasi-maximum likelihood estimators
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volatility prediction power
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