Browsing Department of Economics (ECO) by Subject "Leverage Effect"

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Browsing Department of Economics (ECO) by Subject "Leverage Effect"

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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, ...