Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect
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DOI: 10.3390/math13091506
Abstract: To describe the stylized features of volatility comprehensively, this paper embeds the time-varying leverage effect of volatility into the Realized Generalized AutoRegressive Conditional Heteroskedasticity (RG) model and proposes a new volatility model with a time-varying… read more here.
Keywords: leverage effect; model; time varying; varying leverage ... See more keywords