Matches in SemOpenAlex for { <https://semopenalex.org/work/W1971567637> ?p ?o ?g. }
Showing items 1 to 73 of
73
with 100 items per page.
- W1971567637 abstract "We propose a general GARCH framework that allows the predict volatility using returns sampled at a higher frequency than the prediction horizon. We call the class of models High FrequencY Data-Based PRojectIon-Driven GARCH, or HYBRID-GARCH models, as the volatility dynamics are driven by what we call HYBRID processes. The HYBRID processes can involve data sampled at any frequency. As far as empirical specifications go, we obtain some powerful findings that deviate substantially from the existing literature. Models featuring intra-daily asymmetries (news impact curves applied to intra-daily returns) dominate symmetric models up to weekly horizons, while the reverse is true for longer horizons. Models using daily realized volatility are less preferred than HYBRID involving intra-daily weighting scheme even for longer horizons." @default.
- W1971567637 created "2016-06-24" @default.
- W1971567637 creator A5027526566 @default.
- W1971567637 creator A5046418414 @default.
- W1971567637 creator A5068715764 @default.
- W1971567637 date "2011-01-01" @default.
- W1971567637 modified "2023-09-23" @default.
- W1971567637 title "HYBRID-GARCH: A Generic Class of Models for Volatility Predictions Using Mixed Frequency Data" @default.
- W1971567637 cites W1511340954 @default.
- W1971567637 cites W1968172088 @default.
- W1971567637 cites W2003413166 @default.
- W1971567637 cites W2009343697 @default.
- W1971567637 cites W2125536334 @default.
- W1971567637 cites W2171501853 @default.
- W1971567637 cites W3023857478 @default.
- W1971567637 cites W3105143467 @default.
- W1971567637 cites W3122281927 @default.
- W1971567637 cites W3124206866 @default.
- W1971567637 cites W4254386967 @default.
- W1971567637 doi "https://doi.org/10.2139/ssrn.1815762" @default.
- W1971567637 hasPublicationYear "2011" @default.
- W1971567637 type Work @default.
- W1971567637 sameAs 1971567637 @default.
- W1971567637 citedByCount "5" @default.
- W1971567637 countsByYear W19715676372014 @default.
- W1971567637 countsByYear W19715676372016 @default.
- W1971567637 countsByYear W19715676372017 @default.
- W1971567637 countsByYear W19715676372019 @default.
- W1971567637 crossrefType "journal-article" @default.
- W1971567637 hasAuthorship W1971567637A5027526566 @default.
- W1971567637 hasAuthorship W1971567637A5046418414 @default.
- W1971567637 hasAuthorship W1971567637A5068715764 @default.
- W1971567637 hasConcept C106159729 @default.
- W1971567637 hasConcept C117996083 @default.
- W1971567637 hasConcept C149782125 @default.
- W1971567637 hasConcept C154945302 @default.
- W1971567637 hasConcept C162324750 @default.
- W1971567637 hasConcept C23922673 @default.
- W1971567637 hasConcept C2777212361 @default.
- W1971567637 hasConcept C33923547 @default.
- W1971567637 hasConcept C41008148 @default.
- W1971567637 hasConcept C85393063 @default.
- W1971567637 hasConcept C89218465 @default.
- W1971567637 hasConcept C91602232 @default.
- W1971567637 hasConceptScore W1971567637C106159729 @default.
- W1971567637 hasConceptScore W1971567637C117996083 @default.
- W1971567637 hasConceptScore W1971567637C149782125 @default.
- W1971567637 hasConceptScore W1971567637C154945302 @default.
- W1971567637 hasConceptScore W1971567637C162324750 @default.
- W1971567637 hasConceptScore W1971567637C23922673 @default.
- W1971567637 hasConceptScore W1971567637C2777212361 @default.
- W1971567637 hasConceptScore W1971567637C33923547 @default.
- W1971567637 hasConceptScore W1971567637C41008148 @default.
- W1971567637 hasConceptScore W1971567637C85393063 @default.
- W1971567637 hasConceptScore W1971567637C89218465 @default.
- W1971567637 hasConceptScore W1971567637C91602232 @default.
- W1971567637 hasLocation W19715676371 @default.
- W1971567637 hasOpenAccess W1971567637 @default.
- W1971567637 hasPrimaryLocation W19715676371 @default.
- W1971567637 hasRelatedWork W1546993345 @default.
- W1971567637 hasRelatedWork W1929097898 @default.
- W1971567637 hasRelatedWork W2188910161 @default.
- W1971567637 hasRelatedWork W2244904256 @default.
- W1971567637 hasRelatedWork W2595537043 @default.
- W1971567637 hasRelatedWork W2978919840 @default.
- W1971567637 hasRelatedWork W3013951041 @default.
- W1971567637 hasRelatedWork W3122133707 @default.
- W1971567637 hasRelatedWork W4234989428 @default.
- W1971567637 hasRelatedWork W4237942627 @default.
- W1971567637 isParatext "false" @default.
- W1971567637 isRetracted "false" @default.
- W1971567637 magId "1971567637" @default.
- W1971567637 workType "article" @default.