Browsing Department of Economics (ECO) by Subject "High Frequency Data"

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Browsing Department of Economics (ECO) by Subject "High Frequency Data"

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    Title: Realized Beta GARCH: Multivariate GARCH model with realized measures of volatility and covolatility  Author(s): HANSEN, Peter Reinhard; LUNDE, Asger; VOEV, Valeri Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO 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 ...
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    Title: Exponential GARCH Modeling with Realized Measures of Volatility  Author(s): HANSEN, Peter Reinhard; HUANG, Zhuo Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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, ...