Bivariate Volatility Modeling with High-Frequency Data
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DOI: 10.3390/econometrics7030041
Abstract: We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural relationship between… read more here.
Keywords: high frequency; frequency data; volatility; night volatility ... See more keywords