Score-Driven Models for Realized Volatility
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Cited by:
- Alanya-Beltran, Willy, 2022. "Modelling stock returns volatility with dynamic conditional score models and random shifts," Finance Research Letters, Elsevier, vol. 45(C).
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More about this item
Keywords
EGARCH; GB2 distribution; HAR model; heteroscedasticity; long memory; weekly volatility pattern;All these keywords.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-06-10 (Econometrics)
- NEP-ETS-2019-06-10 (Econometric Time Series)
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