Quasi-maximum exponential likelihood estimators for GARCH models based on high frequency data

zbMATH Open1324.91078MaRDI QIDQ5259888FDOQ5259888

Authors: Jin-shan Huang, Min Chen 

Publication date: 29 June 2015

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zbMATH Keywords

GARCH modelhigh frequency datavolatility proxy model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (2)

• Title not available (Why is that?)
• ESTIMATING BIVARIATE GARCH-JUMP MODEL BASED ON HIGH FREQUENCY DATA: THE CASE OF REVALUATION OF THE CHINESE YUAN IN JULY 2005

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