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

MaRDI QIDQ5259888zbMATH OpenFDO

Authors Jin-shan Huang, Min Chen

Publication date 29 June 2015

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)

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Cited in

(6)

• 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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• Daily GARCH model estimation using high frequency data

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