Multiple measures realized GARCH models

DOI10.1007/978-3-031-16609-9_21MaRDI QIDQ6614836zbMATH OpenFDO

Authors Antonio Naimoli, Giuseppe Storti

Publication date 8 October 2024

Full work available at URL https://doi.org/10.1007/978-3-031-16609-9_21

zbMATH Keywords

PCArealized GARCHrealized volatility measuressampling frequencytail risk forecasting

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Tale of Two Time Scales
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• Modeling and Forecasting Realized Volatility
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• Realized kernels in practise : trades and quotes
• Statistical inference for measurement equation selection in the log-RealGARCH model
• The Model Confidence Set
• Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics

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