Conditional quantile analysis for realized GARCH models

DOI10.1111/JTSA.12633MaRDI QIDQ5095829zbMATH OpenOpenAlexFDO

Authors Donggyu Kim, Minseog Oh, Yazhen Wang

Publication date 11 August 2022

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2108.01967

zbMATH Keywords

high-frequency financial dataquasi-maximum likelihood estimationrealized volatilityrisk managementvalue at risk

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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