Realized volatility of index constituent stocks in Hong Kong
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Publication:834300
DOI10.1016/j.matcom.2008.10.007zbMath1168.91470OpenAlexW2008458145MaRDI QIDQ834300
Ying-Foon Chow, James T. K. Lam, Hinson S. Yeung
Publication date: 19 August 2009
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.10.007
Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
Cites Work
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- Statistical methods in finance
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- Realized Volatility: A Review
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales