頁籤選單縮合
題名 | HYBRID-GARCH: A Generic Class of Models for Volatility Predictions Using High Frequency Data |
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作 者 | Chen, Xilong; Ghysels, Eric; Wang, Fangfang; | 書刊名 | Statistica Sinica |
卷期 | 25:2 2015.04[民104.04] |
頁次 | 頁759-786 |
分類號 | 319.5 |
關鍵詞 | Filtering; GARCH jump diffusion; HYBRID process; Realized measure; Temporal aggregation; Weak GARCH; |
語文 | 英文(English) |