期刊
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
卷 34, 期 2, 页码 269-287出版社
AMER STATISTICAL ASSOC
DOI: 10.1080/07350015.2015.1038543
关键词
Realized variance; High-frequency data; EGARCH; Leverage effect
资金
- Center for Research in Econometric Analysis of Time Series, CREATES
- Danish National Research Foundation
- National Natural Science Foundation of China [71201001]
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, and is characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to 27 stocks and an exchange traded fund that tracks the S&P 500 index and find specifications with multiple realized measures that dominate those that rely on a single realized measure. The empirical analysis suggests some convenient simplifications and highlights the advantages of the new specification.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据