PR Hansen, Z Huang, HH Shek - Journal of Applied …, 2012 - Wiley Online Library
We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the …
PR Hansen, Z Huang - Journal of Business & Economic Statistics, 2016 - Taylor & Francis
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 …
Since the introduction of ARCH models close to 40 years ago, a wide range of models for volatility estimation and prediction have been developed and integrated into asset …
A Phillip, J Chan, S Peiris - Finance Research Letters, 2019 - Elsevier
Cryptocurrencies as of late have commanded global attention on a number of fronts. Most notably, their variance properties are known for being notoriously wild, unlike their fiat …
C Liang, LDT Huynh, Y Li - Journal of International Financial Markets …, 2023 - Elsevier
We examine the role of a belief-based momentum indicator, measured by conditional past returns (CPR), in the realized volatility (RV) predictability of equity markets. Based on the …
J Nakajima, Y Omori - Computational Statistics & Data Analysis, 2012 - Elsevier
A Bayesian analysis of a stochastic volatility model with a generalized hyperbolic (GH) skew Student's t-error distribution is described where we first consider an asymmetric heavy-tailed …
Y Li, LDT Huynh, Y Xu, H Liang - Energy Economics, 2023 - Elsevier
China launched its domestic crude oil futures market in 2018 and this nascent market is steadily developing. Studying volatility predictability for Chinese crude oil futures has …
SJ Koopman, M Scharth - Journal of Financial Econometrics, 2012 - academic.oup.com
We develop a systematic framework for the joint modeling of returns and multiple daily realized measures. We assume a linear state space representation for the log realized …
T Watanabe - The Japanese Economic Review, 2012 - Springer
This article applies the realized generalized autoregressive conditional heteroskedasticity (GARCH) model, which incorporates the GARCH model with realized volatility, to quantile …