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dc.contributor.authorHANSEN, Peter Reinhard
dc.contributor.authorHUANG, Zhuo
dc.date.accessioned2012-11-15T09:14:32Z
dc.date.available2012-11-15T09:14:32Z
dc.date.issued2012
dc.identifier.issn1725-6704
dc.identifier.urihttp://hdl.handle.net/1814/24454
dc.description.abstractWe 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.en
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2012/26en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectEGARCHen
dc.subjectHigh Frequency Dataen
dc.subjectRealized Varianceen
dc.subjectLeverage Effecten
dc.subjectC10en
dc.subjectC22en
dc.subjectC80en
dc.titleExponential GARCH Modeling with Realized Measures of Volatilityen
dc.typeWorking Paperen
dc.neeo.contributorHANSEN|Peter Reinhard|aut|EUI70016
dc.neeo.contributorHUANG|Zhuo|aut|
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