The Resource Realized beta GARCH : multivariate GARCH model with realized measures of volatility and covolatility, Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri

Realized beta GARCH : multivariate GARCH model with realized measures of volatility and covolatility, Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri

Label
Realized beta GARCH : multivariate GARCH model with realized measures of volatility and covolatility
Title
Realized beta GARCH
Title remainder
multivariate GARCH model with realized measures of volatility and covolatility
Statement of responsibility
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri
Creator
Contributor
Author
Subject
Language
eng
Summary
Abstract: We introduce a multivariate GARCH model that incorporates realized measures of volatility and covolatility. The realized measures extract information about the current level of volatility and covolatility from high-frequency data, which is particularly useful for the modeling of return volatility during periods with rapid changes in volatility and covolatility. When applied to market returns in conjunction with returns on an individual asset, the model yields a dynamic model of the conditional regression coefficient that is known as the beta. We apply the model to a large set of assets and find the conditional betas to be far more variable than is usually found with rolling-window regressions based exclusively on daily returns. In the empirical part of the paper we examine the cross-sectional as well as the time variation of the conditional beta series during the financial crises
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
  • Lunde, Asger
  • Voev, Valeri
  • European University Institute
Series statement
  • EUI working papers. ECO
  • EUI papers
Series volume
2012/28
http://library.link/vocab/subjectName
  • GARCH model
  • Econometric models
Label
Realized beta GARCH : multivariate GARCH model with realized measures of volatility and covolatility, Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri
Link
http://hdl.handle.net/1814/25014
Instantiates
Publication
Note
Keywords: Financial Volatility; Beta; Realized GARCH; High Frequency Data; G11; G17; C58
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
FIEb17275374
Dimensions
30 cm.
Extent
41 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)827953732
Label
Realized beta GARCH : multivariate GARCH model with realized measures of volatility and covolatility, Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri
Link
http://hdl.handle.net/1814/25014
Publication
Note
Keywords: Financial Volatility; Beta; Realized GARCH; High Frequency Data; G11; G17; C58
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
FIEb17275374
Dimensions
30 cm.
Extent
41 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)827953732

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