Time-Varying Parameters Realized HAR GARCH with the Weighted Modified Information Volatility and Its Empirical Analysis

XIANG Lin, CHEN Yufeng, HU Hao

Journal of System Science and Mathematical Science Chinese Series ›› 2024, Vol. 44 ›› Issue (7) : 2060-2087.

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中国科学院数学与系统科学研究院期刊网
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Journal of System Science and Mathematical Science Chinese Series ›› 2024, Vol. 44 ›› Issue (7) : 2060-2087. DOI: 10.12341/jssms22834

Time-Varying Parameters Realized HAR GARCH with the Weighted Modified Information Volatility and Its Empirical Analysis

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of System Science and Mathematical Science Chinese Series, 2024, 44(7): 2060-2087 https://doi.org/10.12341/jssms22834

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