The Resource Exponential GARCH modeling with realized measures of volatility, Peter Reinhard Hansen, Zhuo Huang

Exponential GARCH modeling with realized measures of volatility, Peter Reinhard Hansen, Zhuo Huang

Label
Exponential GARCH modeling with realized measures of volatility
Title
Exponential GARCH modeling with realized measures of volatility
Statement of responsibility
Peter Reinhard Hansen, Zhuo Huang
Creator
Contributor
Author
Subject
Language
eng
Summary
We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to DJIA stocks and an exchange traded fund that tracks the S&P 500 index and find that specifications with multiple realized measures dominate those that rely on a single realized measure. The empirical analysis suggests some convenient simplifications and highlights the advantages of the new specification
Member of
Cataloging source
IT-FiEUI
http://library.link/vocab/creatorName
Hansen, Peter Reinhard
Index
no index present
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
  • Huang, Zhuo
  • European University Institute
Series statement
  • EUI working papers. ECO
  • EUI papers
Series volume
2012/26
http://library.link/vocab/subjectName
  • GARCH model
  • Mathematical models
Label
Exponential GARCH modeling with realized measures of volatility, Peter Reinhard Hansen, Zhuo Huang
Link
http://hdl.handle.net/1814/24454
Instantiates
Publication
Note
Subject: EGARCH; High Frequency Data; Realized Variance; Leverage Effect; C10; C22; C80
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17188301
Dimensions
30 cm.
Extent
34 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)827952989
Label
Exponential GARCH modeling with realized measures of volatility, Peter Reinhard Hansen, Zhuo Huang
Link
http://hdl.handle.net/1814/24454
Publication
Note
Subject: EGARCH; High Frequency Data; Realized Variance; Leverage Effect; C10; C22; C80
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17188301
Dimensions
30 cm.
Extent
34 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)827952989

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