RealGARCH_Web_Appendix.pdf
Creators:
Peter Reinhard Hansen
;
Zhuo Huang
;
Howard Shek
From the dataset abstract
We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized...
Source: Realized GARCH: a joint model for returns and realized measures of volatility (replication data)
Metadata
| Field | Value |
|---|---|
| Format | application/pdf |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/95c824aa-be2e-4413-adfd-cf2e8adb9a3c/resource/f1f4ca10-b068-4ab8-a0ae-abc96c81ce52/download/realgarch_web_appendix.pdf |
| Last updated | November 4, 2022 |
| Created | November 4, 2022 |
