Conditional quantile analysis for realized GARCH models

DOI10.1111/jtsa.12633OpenAlexW3211373554MaRDI QIDQ5095829

Yazhen Wang, Donggyu Kim, Minseog Oh

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

risk managementrealized volatilityvalue at riskquasi-maximum likelihood estimationhigh-frequency financial data

Mathematics Subject Classification ID

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

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