Title:Exponential GARCH modeling with realized measures of volatility Author(s):HANSEN, Peter Reinhard; HUANG, ZhuoDate:2016Citation:
- Journal of business & economic statistics, 2016, Vol. 34, No. 2, pp. 269-287
Type:ArticleAbstract:We introduce the realized exponential GARCH model that can use multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, ...