{"title":"利用盘中高频数据估算非参数 GARCH 模型","authors":"Fangrou Chai, Xingfa Zhang, Yuan Li, Yanshan Chen","doi":"10.1080/03610918.2024.2374900","DOIUrl":null,"url":null,"abstract":"Most of nonparametric GARCH models typically employ daily frequency data to forecast the returns, correlations, and risk indicators of financial assets, without incorporating alternative frequency ...","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The nonparametric GARCH model estimation using intraday high-frequency data\",\"authors\":\"Fangrou Chai, Xingfa Zhang, Yuan Li, Yanshan Chen\",\"doi\":\"10.1080/03610918.2024.2374900\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Most of nonparametric GARCH models typically employ daily frequency data to forecast the returns, correlations, and risk indicators of financial assets, without incorporating alternative frequency ...\",\"PeriodicalId\":0,\"journal\":{\"name\":\"\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0,\"publicationDate\":\"2024-07-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1080/03610918.2024.2374900\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/03610918.2024.2374900","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The nonparametric GARCH model estimation using intraday high-frequency data
Most of nonparametric GARCH models typically employ daily frequency data to forecast the returns, correlations, and risk indicators of financial assets, without incorporating alternative frequency ...
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