dc.contributor.author | HANSEN, Peter Reinhard | |
dc.contributor.author | HUANG, Zhuo | |
dc.date.accessioned | 2012-11-15T09:14:32Z | |
dc.date.available | 2012-11-15T09:14:32Z | |
dc.date.issued | 2012 | |
dc.identifier.issn | 1725-6704 | |
dc.identifier.uri | https://hdl.handle.net/1814/24454 | |
dc.description.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, 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.mimetype | application/pdf | |
dc.language.iso | en | en |
dc.relation.ispartofseries | EUI ECO | en |
dc.relation.ispartofseries | 2012/26 | en |
dc.rights | info:eu-repo/semantics/openAccess | |
dc.subject | EGARCH | en |
dc.subject | High Frequency Data | en |
dc.subject | Realized Variance | en |
dc.subject | Leverage Effect | en |
dc.subject | C10 | en |
dc.subject | C22 | en |
dc.subject | C80 | en |
dc.title | Exponential GARCH Modeling with Realized Measures of Volatility | en |
dc.type | Working Paper | en |
dc.neeo.contributor | HANSEN|Peter Reinhard|aut|EUI70016 | |
dc.neeo.contributor | HUANG|Zhuo|aut| | |
eui.subscribe.skip | true | |